An Independence Test Based on Recurrence Rates. An empirical study and applications to real data

TL;DR

This paper introduces new variants of an independence test based on recurrence rates, demonstrating superior performance in high-dimensional data through simulations and real data applications.

Contribution

It proposes novel recurrence rate-based independence tests and evaluates their effectiveness compared to existing methods in high-dimensional settings.

Findings

Test outperforms competitors in high dimensions

Effective on small and large sample sizes

Provides meaningful insights in real data applications

Abstract

In this paper we propose several variants to perform the independence test between two random elements based on recurrence rates. We will show how to calculate the test statistic in each one of these cases. From simulations we obtain that in high dimension, our test clearly outperforms, in almost all cases, the other widely used competitors. The test was performed on two data sets including small and large sample sizes and we show that in both ases the application of the test allows us to obtain interesting conclusions.