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Kronecker delta method for testing independence between two vectors in high-dimension

Author

Listed:
  • Ivair R. Silva

    (Federal University of Ouro Preto)

  • Yan Zhuang

    (Connecticut College)

  • Julio C. A. da Silva Junior

    (Federal University of Vicosa)

Abstract

Conventional methods for testing independence between two Gaussian vectors require sample sizes greater than the number of variables in each vector. Therefore, adjustments are needed for the high-dimensional situation, where the sample size is smaller than the number of variables in at least one of the compared vectors. It is critical to emphasize that the methods available in the literature are unable to control the Type I error probability under the nominal level. This fact is evidenced through an intensive simulation study presented in this paper. To cover this lack, we introduce a valid randomized test based on the Kronecker delta covariance matrices estimator. As an empirical application, based on a sample of companies listed on the stock exchange of Brazil, we test the independence between returns of stocks of different sectors in the COVID-19 pandemic context.

Suggested Citation

  • Ivair R. Silva & Yan Zhuang & Julio C. A. da Silva Junior, 2022. "Kronecker delta method for testing independence between two vectors in high-dimension," Statistical Papers, Springer, vol. 63(2), pages 343-365, April.
    • Handle: RePEc:spr:stpapr:v:63:y:2022:i:2:d:10.1007_s00362-021-01238-z
    DOI: 10.1007/s00362-021-01238-z
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    References listed on IDEAS

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    1. Yata, Kazuyoshi & Aoshima, Makoto, 2013. "Correlation tests for high-dimensional data using extended cross-data-matrix methodology," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 313-331.
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    6. Fang Han & Shizhe Chen & Han Liu, 2017. "Distribution-free tests of independence in high dimensions," Biometrika, Biometrika Trust, vol. 104(4), pages 813-828.
    7. Mao, Guangyu, 2018. "Testing independence in high dimensions using Kendall’s tau," Computational Statistics & Data Analysis, Elsevier, vol. 117(C), pages 128-137.
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