Multivariate nonparametric test of independence

@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}
}
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