In statistics, Hoeffding's test of independence, named after Wassily Hoeffding, is a test based on the population measure of deviation from independence where
is the joint distribution function of two random variables, and
Hoeffding derived an unbiased estimator of
that can be used to test for independence, and is consistent for any continuous alternative.
The test should only be applied to data drawn from a continuous distribution, since
This drawback can be overcome by taking an integration with respect to
[1] A paper published in 2008[2] describes both the calculation of a sample based version of this measure for use as a test statistic, and calculation of the null distribution of this test statistic.