A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Affine-invariant rank tests for multivariate independence in independent component models
Tekijät: Oja H, Paindaveine D, Taskinen S
Kustantaja: INST MATHEMATICAL STATISTICS
Julkaisuvuosi: 2016
Journal: Electronic Journal of Statistics
Tietokannassa oleva lehden nimi: ELECTRONIC JOURNAL OF STATISTICS
Lehden akronyymi: ELECTRON J STAT
Vuosikerta: 10
Numero: 2
Aloitussivu: 2372
Lopetussivu: 2419
Sivujen määrä: 48
ISSN: 1935-7524
eISSN: 1935-7524
DOI: https://doi.org/10.1214/16-EJS1174
Tiivistelmä
We consider the problem of testing for multivariate independence in independent component (IC) models. Under a symmetry assumption, we develop parametric and nonparametric (signed-rank) tests. Unlike in independent component analysis (ICA), we allow for the singular cases involving more than one Gaussian independent component. The proposed rank tests are based on componentwise signed ranks, a la Puri and Sen. Unlike the Puri and Sen tests, however, our tests (i) are affine-invariant and (ii) are, for adequately chosen scores, locally and asymptotically optimal (in the Le Cam sense) at prespecified densities. Asymptotic local powers and asymptotic relative efficiencies with respect to Wilks' LRT are derived. Finite-sample properties are investigated through a Monte-Carlo study.
We consider the problem of testing for multivariate independence in independent component (IC) models. Under a symmetry assumption, we develop parametric and nonparametric (signed-rank) tests. Unlike in independent component analysis (ICA), we allow for the singular cases involving more than one Gaussian independent component. The proposed rank tests are based on componentwise signed ranks, a la Puri and Sen. Unlike the Puri and Sen tests, however, our tests (i) are affine-invariant and (ii) are, for adequately chosen scores, locally and asymptotically optimal (in the Le Cam sense) at prespecified densities. Asymptotic local powers and asymptotic relative efficiencies with respect to Wilks' LRT are derived. Finite-sample properties are investigated through a Monte-Carlo study.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
Turun yliopiston Tutkimustietojärjestelmän portaali