A fast algorithm for computing martingale difference correlation

DOI10.12460/J.ISSN.1001-4268.APS.2025.2023024MaRDI QIDQ6962676zbMATH OpenFDO

Authors Hong Yin, Kai Xu

Publication date 8 July 2025

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12460/J.ISSN.1001-4268.APS.2025.2023024

zbMATH Keywords

dependency measurefast algorithmmartingale difference correlationmerge sort

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites work

• A fast algorithm for computing distance correlation
• A martingale-difference-divergence-based test for specification
• Conditional mean and quantile dependence testing in high dimension
• Conditional-quantile screening for ultrahigh-dimensional survival data via martingale difference correlation
• Introduction to algorithms
• Martingale difference correlation and its use in high-dimensional variable screening
• Measuring and testing dependence by correlation of distances
• Partial distance correlation with methods for dissimilarities
• Partial martingale difference correlation
• Testing conditional mean independence for functional data

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