Private independence testing across two parties

07/08/2022

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by   Praneeth Vepakomma, et al.

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We introduce π-test, a privacy-preserving algorithm for testing statistical independence between data distributed across multiple parties. Our algorithm relies on privately estimating the distance correlation between datasets, a quantitative measure of independence introduced in Székely et al. [2007]. We establish both additive and multiplicative error bounds on the utility of our differentially private test, which we believe will find applications in a variety of distributed hypothesis testing settings involving sensitive data.