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Nonparametric independence testing via mutual information

Accepted version
Peer-reviewed

Type

Article

Change log

Authors

Berrett, TB 
Samworth, RJ 

Abstract

We propose a test of independence of two multivariate random vectors, given a sample from the underlying population. Our approach, which we call MINT, is based on the estimation of mutual information, whose decomposition into joint and marginal entropies facilitates the use of recently-developed efficient entropy estimators derived from nearest neighbour distances. The proposed critical values, which may be obtained from simulation (in the case where one marginal is known) or resampling, guarantee that the test has nominal size, and we provide local power analyses, uniformly over classes of densities whose mutual information satisfies a lower bound. Our ideas may be extended to provide a new goodness-of-fit tests of normal linear models based on assessing the independence of our vector of covariates and an appropriately-defined notion of an error vector. The theory is supported by numerical studies on both simulated and real data.

Description

Keywords

Entropy estimation, Independence test, Mutual information, Nearest neighbour

Journal Title

BIOMETRIKA

Conference Name

Journal ISSN

0006-3444
1464-3510

Volume Title

106

Publisher

Oxford University Press (OUP)
Sponsorship
Engineering and Physical Sciences Research Council (EP/J017213/1)
Leverhulme Trust (PLP-2014-353)
Engineering and Physical Sciences Research Council (EP/N031938/1)
Engineering and Physical Sciences Research Council (EP/P031447/1)
EPSRC Leverhulme Trust SIMS fund