A nonparametric independence test using random permutations

Abstract

We propose a new nonparametric test for the supposition of independence between two continuous random variables. The test is based on the size of the longest increasing subsequence of a random permutation. We identified the independence assumption between the two continuous variables with the space of permutation equipped with the uniform distribution and we show the exact distribution of the statistic. We calculate the distribution for several sample sizes. Through a simulation study we estimate the power of our test for diverse alternative hypothesis under the null hypothesis of independence.