# independence: Fast Rank Tests

@article{EvenZohar2020independenceFR, title={independence: Fast Rank Tests}, author={Chaim Even-Zohar}, journal={arXiv: Computation}, year={2020} }

In 1948 Hoeffding devised a nonparametric test that detects dependence between two continuous random variables X and Y, based on the ranking of n paired samples (Xi,Yi). The computation of this commonly-used test statistic takes O(n log n) time. Hoeffding's test is consistent against any dependent probability density f(x,y), but can be fooled by other bivariate distributions with continuous margins. Variants of this test with full consistency have been considered by Blum, Kiefer, and Rosenblatt… Expand

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Exact Detection Thresholds for Chatterjee's Correlation

- Mathematics
- 2021

Recently, Chatterjee (2021) introduced a new rank-based correlation coefficient which can be used to test for independence between two random variables. His test has already attracted much attention… Expand

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Testing mutual independence for high dimensional observations is a fundamental statistical challenge. Popular tests based on linear and simple rank correlations are known to be incapable of detecting… Expand

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