The Binary Expansion Randomized Ensemble Test (BERET)

Abstract: Recently, the binary expansion testing framework was introduced to test the independence of two continuous random variables by utilizing symmetry statistics that are complete sufficient statistics for dependence. We develop a new test based on an ensemble approach that uses the sum of squared symmetry statistics and distance correlation. Simulation studies suggest that this method improves the power while preserving the clear interpretation of the binary expansion testing. We extend this method to tests of independence of random vectors in arbitrary dimension. Through random projections, the proposed binary expansion randomized ensemble test transforms the multivariate independence testing problem into a univariate problem. Simulation studies and data example analyses show that the proposed method provides relatively robust performance compared with existing methods.