Multivariate Rank-Based Distribution-Free Nonparametric Testing Using Measure Transportation
提出一种基于测度运输定义多元秩次的框架，用于构造精确无分布的非参数检验，包括检验随机向量独立性和多元分布相等性，并给出渐近零分布和一致性证明。
In this article, we propose a general framework for distribution-free nonparametric testing in multi-dimensions, based on a notion of multivariate ranks defined using the theory of measure transportation. Unlike other existing proposals in the literature, these multivariate ranks share a number of useful properties with the usual one-dimensional ranks; most importantly, these ranks are distribution-free. This crucial observation allows us to design nonparametric tests that are exactly distribution-free under the null hypothesis. We demonstrate the applicability of this approach by constructing exact distribution-free tests for two classical nonparametric problems: (I) testing for mutual independence between random vectors, and (II) testing for the equality of multivariate distributions. In particular, we propose (multivariate) rank versions of distance covariance and energy statistic for testing scenarios (I) and (II), respectively. In both these problems, we derive the asymptotic null distribution of the proposed test statistics. We further show that our tests are consistent against all fixed alternatives. Moreover, the proposed tests are computationally feasible and are well-defined under minimal assumptions on the underlying distributions (e.g., they do not need any moment assumptions). We also demonstrate the efficacy of these procedures via extensive simulations. In the process of analyzing the theoretical properties of our procedures, we end up proving some new results in the theory of measure transportation and in the limit theory of permutation statistics using Stein’s method for exchangeable pairs, which may be of independent interest.