Partial distance correlation with methods for dissimilarities
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Publication:136776
DOI10.1214/14-AOS1255zbMATH Open1309.62105arXiv1310.2926OpenAlexW2963503333MaRDI QIDQ136776FDOQ136776
Authors: Gábor J. Székely, Maria L. Rizzo, G. J. Székely, Maria L. Rizzo 
Publication date: 1 December 2014
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Distance covariance and distance correlation are scalar coefficients that characterize independence of random vectors in arbitrary dimension. Properties, extensions, and applications of distance correlation have been discussed in the recent literature, but the problem of defining the partial distance correlation has remained an open question of considerable interest. The problem of partial distance correlation is more complex than partial correlation partly because the squared distance covariance is not an inner product in the usual linear space. For the definition of partial distance correlation we introduce a new Hilbert space where the squared distance covariance is the inner product. We define the partial distance correlation statistics with the help of this Hilbert space, and develop and implement a test for zero partial distance correlation. Our intermediate results provide an unbiased estimator of squared distance covariance, and a neat solution to the problem of distance correlation for dissimilarities rather than distances.
Full work available at URL: https://arxiv.org/abs/1310.2926
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