Paired Sample Tests for High-dimensional Uncorrelatedness via Random Integration

Abstract

This paper proposes a novel nonparametric test to assess the uncorrelatedness between two high-dimensional random vectors. We develop our test by generalizing the random integration proposed by Jiang et al. (2023, 2024), and the resulting test statistic estimates a weighted squared $\mathscr{L}_2$ norm of the covariance matrix. Asymptotic properties of the test statistic are derived by letting both the sample size $n$ and the dimension $p$ diverge to infinity. Under the null hypothesis of uncorrelatedness, our proposed test statistic is asymptotically normal with zero mean and unit variance, without requiring any specification of the relative magnitude regarding $n$ and $p$. Monte Carlo simulations demonstrate the good finite-sample performance of our proposed methods. Compared with many existing tests, our test statistic is more powerful at detecting ``weak but pervasive'' dependence while maintaining a comparable empirical size. The advantages of the proposed methods are further illustrated by an empirical analysis that assesses the correlation between DNA methylation and gene expression.