A distribution-free test of independence based on mean variance index

A new test based on mean variance (MV) index is proposed for testing the independence between a categorical random variable Y and a continuous one X. The MV index can be considered as the weighted average of Cramer-von Mises distances between the conditional distribution functions of X given each class of Y and the unconditional distribution function of X. The MV index is zero if and only if X and Y are independent. The new MV test between X and Y enjoys several appealing merits. First, an explicit form of the asymptotic null distribution is derived under the independence between X and Y. It provides an efficient way to compute critical values and p-value. Second, no assumption on the distributions of two random variables is required and the new test statistic is invariant under one-to-one transformations of the continuous random variable. It is essentially a rank test and distribution-free, so it is resistant to heavy-tailed distributions and extreme values in practice. Monte Carlo simulations demonstrate its excellent finite-sample performance. In applications, the MV test is used in two high dimensional gene expression data to detect the significant genes associated with tumor types. (C) 2019 Elsevier B.V. All rights reserved.