Many statistics have been proposed for testing the correlation between two random variables. It is natural to consider the multivariate test for this problem involving random vectors. A new multivariate test based on interdirections is proposed for th...
Many statistics have been proposed for testing the correlation between two random variables. It is natural to consider the multivariate test for this problem involving random vectors. A new multivariate test based on interdirections is proposed for this purpose. A comparison is made among the proposed statistic, Wilks likelihood ratio criterion and a component-wise quadrant statistic via a simulation study. Monte Carlo results demonstrate that the proposed statistic performs better than other when the underlying distributions are heavy-tailed. Also an example shows the robustness of the proposed statistic.