Generalized Mutual-Information based independence tests - Amor Keziou, Philippe Regnault
Author(s): Amor Keziou, Philippe Regnault
DOI URL: http://dx.doi.org/10.1007/978-3-319-25040-3_49
Slides: Regnault_Semi-parametric estimation.pdf
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We derive independence tests by means of dependence measures thresholding in a semiparametric context. Precisely, estimates of mutual information associated to ϕ-divergences are derived through the dual representations of ϕ-divergences. The asymptotic properties of the estimates are established, including consistency, asymptotic distribution and large deviations principle. The related tests of independence are compared through their relative asymptotic Bahadur efficiency and numerical simulations.