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Multivariate mutual independence test

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sinoTrinity Liu
sinoTrinity Liu on 20 Jun 2011
Hi everyone,
I have a series of observations {Xi,Yi,Zi} for random variable X, Y and Z, who actual distribution is unknown. Now I want to test if X, Y and Z are mutual independent based on these observations, can anyone help me? What about more than 3 variables?
Some pairwise independence tests like this one http://www.gatsby.ucl.ac.uk/~gretton/indepTestFiles/indep.htm are available, but I haven't found such tests for multivariate mutual independence yet?
BTW, all random variables are continuous, so chi-square independence test may not, at least directly, work.
Thanks in advance.
p.s. I posted this in the newsgroup as well. I'm not sure if it is allowed to cross-post. If not, please discard this post.

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