Measuring and testing dependence by correlation of distances

Details Measuring and testing dependence by correlation of distances Measuring and testing dependence by correlation of distances

2008-03-28

arxiv.org/abs/0803.4101v1

Annals of Statistics 2007, Vol. 35, No. 6, 2769-2794

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/009053607000000505 the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053607000000505

Distance correlation is a new measure of dependence between random vectors. Distance covariance and distance correlation are analogous to product-moment covariance and correlation, but unlike the classical definition of correlation, distance correlation is zero only if the random vectors are independent. The empirical distance dependence measures are based on certain Euclidean distances between sample elements rather than sample moments, yet have a compact representation analogous to the classical covariance and correlation. Asymptotic properties and applications in testing independence are discussed. Implementation of the test and Monte Carlo results are also presented.

Affiliated with

Also associated with

No associations

Rating

Measuring and testing dependence by correlation of distances does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Measuring and testing dependence by correlation of distances, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Measuring and testing dependence by correlation of distances will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-173946