Asymptotic properties of a dimension-robust quadratic dependence measure

DOI10.1016/J.CRMA.2007.10.043MaRDI QIDQ2472991zbMATH OpenOpenAlexFDO

Authors Sophie Achard

Publication date 25 February 2008

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0609259

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: Asymptotic properties of a dimension-robust dependence measure are investigated. It is related to those used in independence tests, but is derivable, thus suitable for independent component analysis. An adjustable kernel allows to accelerate the convergence of the estimator without affecting the bias.

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Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• A Consistent Test for Bivariate Dependence
• A Non-Parametric Test of Independence
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Characteristic-function-based independent component analysis
• Consistent independent component analysis and prewhitening
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• Limit behaviour of the empirical characteristic function

Cited in

(3)

• Definitions and representations of multivariate long-range dependent time series
• A test of independence based on a generalized correlation function
• Multivariate wavelet Whittle estimation in long-range dependence

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