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In [[statistics]], '''Hoeffding's test of independence''', named after [[Wassily Hoeffding]], is a test based on the population measure of deviation from independence
 
:<math>H = \int (F_{12}-F_1F_2)^2 \, dF_{12} \!</math>
 
where <math>F_{12}</math> is the [[joint distribution function]] of two random variables, and <math>F_1</math> and <math>F_2</math> are their [[marginal distribution]] functions.
Hoeffding derived an [[unbiased estimator]] of <math>H</math> that can be used to test for [[independence (probability theory)|independence]], and is [[consistent estimator|consistent]] for any continuous [[alternative hypothesis|alternative]]. The test should only be applied to data drawn from a [[continuous probability distribution|continuous distribution]], since <math>H</math> has a defect for discontinuous <math>F_{12}</math>, namely that it is not necessarily zero when <math>F_{12}=F_1F_2</math>.
 
A recent paper<ref>Wilding, G.E., Mudholkar, G.S. (2008) [http://www.sciencedirect.com/science/article/B7CRS-4PJ04Y7-1/2/e10c0f978e665a0d5ffd41a594f9a9ba "Empirical approximations for Hoeffding's test of bivariate independence using two Weibull extensions"], ''Statistical Methodology'', 5 (2), 160-&ndash;170</ref> 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==
 
{{Portal|Statistics}}
* [[Correlation]]
* [[Kendall's tau]]
* [[Spearman's rank correlation coefficient]]
*[[Distance correlation]]
 
==Notes==
{{Reflist}}
 
==Primary sources==
* Wassily Hoeffding, A non-parametric test of independence, ''Annals of Mathematical Statistics'' '''19''': 293&ndash;325, 1948. ([http://www.jstor.org/stable/2236021 JSTOR])
* Hollander and Wolfe, Non-parametric statistical methods (Section 8.7), 1999. Wiley.
 
{{DEFAULTSORT:Hoeffding's Independence Test}}
[[Category:Covariance and correlation]]
[[Category:Non-parametric statistics]]
[[Category:Statistical tests]]
[[Category:Statistical dependence]]
 
 
{{statistics-stub}}

Revision as of 23:48, 28 November 2013

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

H=(F12F1F2)2dF12

where F12 is the joint distribution function of two random variables, and F1 and F2 are their marginal distribution functions. Hoeffding derived an unbiased estimator of H 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 H has a defect for discontinuous F12, namely that it is not necessarily zero when F12=F1F2.

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

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Notes

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Primary sources

  • Wassily Hoeffding, A non-parametric test of independence, Annals of Mathematical Statistics 19: 293–325, 1948. (JSTOR)
  • Hollander and Wolfe, Non-parametric statistical methods (Section 8.7), 1999. Wiley.


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  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