Measures of independence and functional dependence

Abstract: We follow up on Shi et al's (2020) and Cao's and my (2020) work on the local power of a new test for independence, Chatterjee (2019), and its relation to the local power properties of classical tests. We show quite generally that for testing independence with local alternatives either Chatterjee's rank test has no power, or it may be misleading: The Blum, Kiefer, Rosenblatt, and other omnibus classical rank tests do have some local power in any direction other than those where significant results may be misleading. We also suggest methods of selective inference in independence testing. Chatterjee's statistics like Renyi's (1959) also identified functional dependence. We exhibit statistics which have better power properties than Chatterjee's but also identify functional dependence.