Testing the Independence of Poisson Variates under the Holgate Bivariate Distribution: The Power of a New Evidence Test.

A new Evidence Test is applied to the problem of testing whether two Poisson random variables are dependent. The dependence structure is that of Holgate’s bivariate distribution. These bivariate distribution depends on three parameters, 0 < theta_1, theta_2 < infty, and 0 < theta_3 < min(theta_1, theta_2). The Evidence Test was originally developed as a Bayesian test, but in the present paper it is compared to the best known test of the hypothesis of independence in a frequentist framework. It is shown that the Evidence Test is considerably more powerful when the correlation is not too close to zero, even for small samples.