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A consistent modification of a test for independence based on the empirical characteristic function

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Abstract

A modification of a test for independence based on the empirical characteristic function is investigated. The initial test is not consistent in the general case. The modification makes the test always consistent and asymptotically distribution free. It is based on a special transformation of the data.

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Authors and Affiliations

  1. University of Jyväskylä, Jyväskylä, Finland

    A. Kankainen

  2. Institute of Microelectronics Technology, Russian Academy of Sciences, 142432, Chernogolovka, Russia

    N. G. Ushakov

Authors
  1. A. Kankainen
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  2. N. G. Ushakov
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Additional information

Proceedings of the Seminar on Stability Problems for Stochastic Models, Moscow, Russia, 1996, Part I.

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Kankainen, A., Ushakov, N.G. A consistent modification of a test for independence based on the empirical characteristic function. J Math Sci 89, 1486–1494 (1998). https://doi.org/10.1007/BF02362283

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  • DOI: https://doi.org/10.1007/BF02362283

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