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Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India

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  • Helmut Herwartz

    (University of Goettingen)

  • Simone Maxand

    (University of Helsinki)

Abstract

The detection of dependence structures within a set of random variables provides a valuable basis for a detailed subsequent investigation of their relationships. Nonparametric tests for independence require only basic assumptions on the marginal or joint distribution of the involved variables. In this paper, we review nonparametric tests of independence in bivariate as well as multivariate settings which are throughout ready-to-use, i.e., implemented in R packages. Highlighting their distinct empirical size and power properties in various small sample settings, our analysis supports an analyst in deciding for a most adequate test conditional on underlying distributional settings or data characteristics. Avoiding restrictive moment conditions, the copula based Cramér-von Mises distance of Genest and Rémillard (Test 13:335–370, 2004) is remarkably robust under the null hypothesis and powerful under diverse settings that are in line with the alternative hypothesis. Based on distinguished test outcomes in small samples, we detect nonlinear dependence structures between childhood malnutrition indices and possible determinants in an empirical application for India.

Suggested Citation

  • Helmut Herwartz & Simone Maxand, 2020. "Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India," Statistical Papers, Springer, vol. 61(5), pages 2175-2201, October.
    • Handle: RePEc:spr:stpapr:v:61:y:2020:i:5:d:10.1007_s00362-018-1026-9
    DOI: 10.1007/s00362-018-1026-9
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    References listed on IDEAS

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    Cited by:

    1. Marc Hallin & Simos Meintanis & Klaus Nordhausen, 2024. "Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models," Working Papers ECARES 2024-04, ULB -- Universite Libre de Bruxelles.
    2. Meintanis, Simos G. & Hušková, Marie & Hlávka, Zdeněk, 2022. "Fourier-type tests of mutual independence between functional time series," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    3. Fernández-Durán Juan José & Gregorio-Domínguez María Mercedes, 2023. "Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-17, January.
    4. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).

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