Hoeffding's independence test

In statistics, Hoeffding's test of independence, named after Wassily Hoeffding, is a test based on the population measure of deviation from independence

where is the joint distribution function of two random variables, and and are their marginal distribution functions. Hoeffding derived an unbiased estimator of that can be used to test for independence, and is consistent for any continuous alternative. The test should only be applied to data drawn from a continuous distribution, since has a defect for discontinuous , namely that it is not necessarily zero when .

A recent paper[1] describes both the calculation of a sample based version of this measure for use as a test statistic, and calculation of the null distribution of this test statistic.

See also

Notes

  1. Wilding, G.E., Mudholkar, G.S. (2008) "Empirical approximations for Hoeffding's test of bivariate independence using two Weibull extensions", Statistical Methodology, 5 (2), 160-170

Primary sources

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