A Nonparametric Test of Total Independence Based on Kendall's Tau
基于 Kendall τ 的完全独立性非参数检验
For a K-dimensional data set, compute all the 1K(K − 1) Kendall's taus and in addition compute multivariate generalizations of tau. Under the hypothesis of total independence in K dimensions, the computed quantities can be shown to have asymptotic normal distributions, thereby permitting a test of the total independence hypothesis. Significant taus will provide information about nonindependence.