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@article{Fan2017MultivariateNT, title={Multivariate nonparametric test of independence}, author={Yanan Fan and Pierre Lafaye de Micheaux and Spiridon I. Penev and Donna Salopek}, journal={J. Multivariate Analysis}, year={2017}, volume={153}, pages={189-210} }

- Published 2017 in J. Multivariate Analysis
DOI:10.1016/j.jmva.2016.09.014

The problem of testing mutual independence of p random vectors in a general setting where the dimensions of the vectors can be different and the distributions can be discrete, continuous or both is of great importance. We propose such a test which utilizes multivariate characteristic functions and is a generalization of known results. We characterize the limiting distribution of the test statistic under the null hypothesis. The limiting null distribution is approximated and the method is… CONTINUE READING