A test of independence based on a generalized correlation function

Murali Rao, Sohan Seth, Jianwu Xu, Yunmei Chen, Hemant Tagare, José C. Príncipe

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we propose a novel test of independence based on the concept of correntropy. We explore correntropy from a statistical perspective and discuss its properties in the context of testing independence. We introduce the novel concept of parametric correntropy and design a test of independence based on it. We further discuss how the proposed test relaxes the assumption of Gaussianity. Finally, we discuss some computational issues related to the proposed method and compare it with state-of-the-art techniques.
Original languageEnglish
Pages (from-to)15 - 27
Number of pages13
JournalSignal Processing
Volume91
Issue number1
DOIs
Publication statusPublished - Jan 2011

Keywords

  • Test of independence

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