High-dimensional consistent independence testing with maxima of rank correlations
Mathias Drton, Fang Han, Hongjian Shi
The Annals of Statistics · 2020 · Volume 48 · Issue 6
Abstract
Testing mutual independence for high-dimensional observations is a fundamental statistical challenge. Popular tests based on linear and simple rank correlations are known to be incapable of detecting nonlinear, nonmonotone relationships, calling for methods that can account for such dependences. To address this challenge, we propose a family of tests that are constructed using maxima of pairwise rank correlations that permit consistent assessment of pairwise independence. Built upon a newly developed Cramér-type moderate deviation theorem for degenerate U-statistics, our results cover a variety of rank correlations including Hoeffding’s $D$, Blum–Kiefer–Rosenblatt’s $R$ and Bergsma–Dassios–Yanagimoto’s $\tau^{*}$. The proposed tests are distribution-free in the class of multivariate distributions with continuous margins, implementable without the need for permutation, and are shown to be rate-optimal against sparse alternatives under the Gaussian copula model. As a by-product of the study, we reveal an identity between the aforementioned three rank correlation statistics, and hence make a step towards proving a conjecture of Bergsma and Dassios.
Keywords
62G10, Degenerate U-statistics, extreme value distribution, Independence test, maximum-type test, rank statistics, rate-optimality
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