Consistent Nonparametric Tests of Independence

Arthur Gretton; László Györfi

Three simple and explicit procedures for testing the independence of two multi-dimensional random variables are described. Two of the associated test statistics (L₁, log-likelihood) are defined when the empirical distribution of the variables is restricted to finite partitions. A third test statistic is defined as a kernel-based independence measure. Two kinds of tests are provided. Distribution-free strong consistent tests are derived on the basis of large deviation bounds on the test statistics: these tests make almost surely no Type I or Type II error after a random sample size. Asymptotically α-level tests are obtained from the limiting distribution of the test statistics. For the latter tests, the Type I error converges to a fixed non-zero value α, and the Type II error drops to zero, for increasing sample size. All tests reject the null hypothesis of independence if the test statistics become large. The performance of the tests is evaluated experimentally on benchmark data.

Consistent Nonparametric Tests of Independence

Abstract