Distance covariance in metric spaces

DOI10.1214/12-AOP803zbMATH Open1292.62087arXiv1106.5758OpenAlexW3103827447WikidataQ89355576 ScholiaQ89355576MaRDI QIDQ378803FDOQ378803

Authors: Russell Lyons 

Publication date: 12 November 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We extend the theory of distance (Brownian) covariance from Euclidean spaces, where it was introduced by Sz'{e}kely, Rizzo and Bakirov, to general metric spaces. We show that for testing independence, it is necessary and sufficient that the metric space be of strong negative type. In particular, we show that this holds for separable Hilbert spaces, which answers a question of Kosorok. Instead of the manipulations of Fourier transforms used in the original work, we use elementary inequalities for metric spaces and embeddings in Hilbert spaces.

Full work available at URL: https://arxiv.org/abs/1106.5758

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zbMATH Keywords

hypothesis testingdistance correlationindependenceBrownian covariancenegative type

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Probability theory on linear topological spaces (60B11)

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• Testing serial independence with functional data
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Uses Software

• energy

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