著者

Masashi SUGIYAMA Taiji SUZUKI

出版者

The Institute of Electronics, Information and Communication Engineers

雑誌

IEICE Transactions on Information and Systems (ISSN:09168532)

巻号頁・発行日

vol.E94.D, no.6, pp.1333-1336, 2011-06-01 (Released:2011-06-01)

参考文献数

10

被引用文献数

6 10

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Identifying the statistical independence of random variables is one of the important tasks in statistical data analysis. In this paper, we propose a novel non-parametric independence test based on a least-squares density ratio estimator. Our method, called least-squares independence test (LSIT), is distribution-free, and thus it is more flexible than parametric approaches. Furthermore, it is equipped with a model selection procedure based on cross-validation. This is a significant advantage over existing non-parametric approaches which often require manual parameter tuning. The usefulness of the proposed method is shown through numerical experiments.