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

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 cases the application of the test allows us to obtain interesting conclusions.