Generalized martingale difference divergence: detecting conditional mean independence with applications in variable screening

DOI10.1016/J.CSDA.2022.107618MaRDI QIDQ6167038zbMATH OpenFDO

Authors Lu Li, Chenlu Ke, Xiangrong Yin, Zhou Yu

Publication date 7 July 2023

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CSDA.2022.107618

zbMATH Keywords

generalized martingale difference divergenceLévy measuremartingale difference divergence

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• A kernel two-sample test
• A new class of measures for testing independence
• Approximation Theorems of Mathematical Statistics
• Brownian distance covariance
• Conditional mean and quantile dependence testing in high dimension
• Conditional quantile screening in ultrahigh-dimensional heterogeneous data
• Detecting independence of random vectors: generalized distance covariance and Gaussian covariance
• Equivalence of distance-based and RKHS-based statistics in hypothesis testing
• Expected conditional characteristic function-based measures for testing independence
• Feature screening via distance correlation learning
• High-dimensional additive modeling
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• Martingale difference correlation and its use in high-dimensional variable screening
• Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
• Measuring and testing dependence by correlation of distances
• Model-free feature screening for ultrahigh-dimensional data
• Nonparametric independence screening in sparse ultra-high-dimensional additive models
• Partial martingale difference correlation
• Quantile Regression for Analyzing Heterogeneity in Ultra-High Dimension
• Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply

Cited in

(3)

• Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
• Partial sufficient variable screening with categorical controls
• Deep nonlinear sufficient dimension reduction

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