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Nonparametric independence tests: Space partitioning and Kernel approaches

Gretton, A; Györfi, L; (2008) Nonparametric independence tests: Space partitioning and Kernel approaches. In: (pp. pp. 183-198).

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Abstract

Three simple and explicit procedures for testing the independence of two multi-dimensional random variables are described. Two of the associated test statistics (L 1 , log-likelihood) are defined when the empirical distribution of the variables is restricted to finite partitions. A third test statistic is defined as a kernel-based independence measure. All tests reject the null hypothesis of independence if the test statistics become large. The large deviation and limit distribution properties of all three test statistics are given. Following from these results, distribution-free strong consistent tests of independence are derived, as are asymptotically α-level tests. The performance of the tests is evaluated experimentally on benchmark data. © 2008 Springer-Verlag Berlin Heidelberg.

Type: Proceedings paper
Title: Nonparametric independence tests: Space partitioning and Kernel approaches
DOI: 10.1007/978-3-540-87987-9_18
URI: http://discovery.ucl.ac.uk/id/eprint/1334317
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