A Class of Robust Independence Tests Based on Weighted Integrals of Empirical Characteristic Functions

IF 0.8 3区 数学 Q2 MATHEMATICS Acta Mathematica Sinica-English Series Pub Date : 2024-12-15 DOI:10.1007/s10114-024-2613-4
Feng Zou, Chang Liang Zou, Heng Jian Cui
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Abstract

In this paper, we propose a class of robust independence tests for two random vectors based on weighted integrals of empirical characteristic functions. By letting weight functions be probability density functions of a class of special distributions, the proposed test statistics have simple closed forms and do not require moment conditions on the random vectors. Moreover, we derive the asymptotic distributions of the test statistics under the null hypothesis. The proposed testing method is computationally feasible and easy to implement. Based on a data-driven bandwidth selection method, Monte Carlo simulation studies indicate that our tests have a relatively good performance compared with the competitors. A real data example is also presented to illustrate the application of our tests.

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一类基于经验特征函数加权积分的鲁棒独立性检验
本文提出了一类基于经验特征函数加权积分的两个随机向量的鲁棒独立性检验。通过将权函数作为一类特殊分布的概率密度函数,所提出的检验统计量具有简单的封闭形式,并且不需要随机向量上的矩条件。此外,我们还导出了零假设下检验统计量的渐近分布。所提出的测试方法计算可行,易于实现。基于数据驱动的带宽选择方法,蒙特卡罗仿真研究表明,与竞争对手相比,我们的测试具有相对较好的性能。最后给出了一个实际的数据示例来说明我们的测试的应用。
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来源期刊
CiteScore
1.00
自引率
0.00%
发文量
138
审稿时长
14.5 months
期刊介绍: Acta Mathematica Sinica, established by the Chinese Mathematical Society in 1936, is the first and the best mathematical journal in China. In 1985, Acta Mathematica Sinica is divided into English Series and Chinese Series. The English Series is a monthly journal, publishing significant research papers from all branches of pure and applied mathematics. It provides authoritative reviews of current developments in mathematical research. Contributions are invited from researchers from all over the world.
期刊最新文献
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