Detection of Correlated Random Vectors

In this paper, we investigate the problem of deciding whether two standard normal random vectors <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\textsf {X}\in \mathbb {R}^{n}$ </tex-math></inline-formula> and <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\textsf {Y}\in \mathbb {R}^{n}$ </tex-math></inline-formula> are correlated or not. This is formulated as a hypothesis testing problem, where under the null hypothesis, these vectors are statistically independent, while under the alternative, <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\textsf {X}$ </tex-math></inline-formula> and a randomly and uniformly permuted version of <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\textsf {Y}$ </tex-math></inline-formula> , are correlated with correlation <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\rho $ </tex-math></inline-formula> . We analyze the thresholds at which optimal testing is information-theoretically impossible and possible, as a function of n and <inline-formula xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> <tex-math notation="LaTeX">$\rho $ </tex-math></inline-formula> . To derive our information-theoretic lower bounds, we develop a novel technique for evaluating the second moment of the likelihood ratio using an orthogonal polynomials expansion, which among other things, reveals a surprising connection to integer partition functions. We also study a multi-dimensional generalization of the above setting, where rather than two vectors we observe two databases/matrices, and furthermore allow for partial correlations between these two.