The asymptotic distribution and Berry--Esseen bound of a new test for independence in high dimension with an application to stochastic optimization

Abstract

Let $\mathbf{X}_1,...,\mathbf{X}_n$ be a random sample from a $p$-dimensional population distribution. Assume that $c_1n^α\leq p\leq c_2n^α$ for some positive constants $c_1,c_2$ and $α$. In this paper we introduce a new statistic for testing independence of the $p$-variates of the population and prove that the limiting distribution is the extreme distribution of type I with a rate of convergence $O((\log n)^{5/2}/\sqrt{n})$. This is much faster than $O(1/\log n)$, a typical convergence rate for this type of extreme distribution. A simulation study and application to stochastic optimization are discussed.