Distance metrics for measuring joint dependence with application to causal inference
From MaRDI portal
Publication:5208070
Abstract: Many statistical applications require the quantification of joint dependence among more than two random vectors. In this work, we generalize the notion of distance covariance to quantify joint dependence among d >= 2 random vectors. We introduce the high order distance covariance to measure the so-called Lancaster interaction dependence. The joint distance covariance is then defined as a linear combination of pairwise distance covariances and their higher order counterparts which together completely characterize mutual independence. We further introduce some related concepts including the distance cumulant, distance characteristic function, and rank-based distance covariance. Empirical estimators are constructed based on certain Euclidean distances between sample elements. We study the large sample properties of the estimators and propose a bootstrap procedure to approximate their sampling distributions. The asymptotic validity of the bootstrap procedure is justified under both the null and alternative hypotheses. The new metrics are employed to perform model selection in causal inference, which is based on the joint independence testing of the residuals from the fitted structural equation models. The effectiveness of the method is illustrated via both simulated and real datasets.
Recommendations
- Measuring and testing dependence by correlation of distances
- Generalizing distance covariance to measure and test multivariate mutual dependence via complete and incomplete V-statistics
- Distance multivariance: new dependence measures for random vectors
- A basic treatment of the distance covariance
- Detecting independence of random vectors: generalized distance covariance and Gaussian covariance
Cites work
- scientific article; zbMATH DE number 6378135 (Why is no real title available?)
- scientific article; zbMATH DE number 107482 (Why is no real title available?)
- scientific article; zbMATH DE number 7434519 (Why is no real title available?)
- scientific article; zbMATH DE number 3307119 (Why is no real title available?)
- scientific article; zbMATH DE number 3062467 (Why is no real title available?)
- 10.1162/153244303768966085
- A consistent test for multivariate normality based on the empirical characteristic function
- A consistent test of independence based on a sign covariance related to Kendall's tau
- A new approach to the BHEP tests for multivariate normality
- Adaptive Smoothing and Density-Based Tests of Multivariate Normality
- Algorithmic Learning Theory
- Brownian distance covariance
- CAM: causal additive models, high-dimensional order search and penalized regression
- Conditional Distance Correlation
- Distance covariance in metric spaces
- Energy statistics: a class of statistics based on distances
- Equivalence of distance-based and RKHS-based statistics in hypothesis testing
- Goodness-of-fit statistics for discrete multivariate data
- Hierarchical clustering via joint between-within distances: extending Ward's minimum variance method
- Kernel-based tests for joint independence
- Lancaster interactions revisited
- Measures of multivariate skewness and kurtosis with applications
- Measuring and testing dependence by correlation of distances
- Multivariante information transmission
- On the uniqueness of distance covariance
- Partial distance correlation with methods for dissimilarities
- Testing independence and goodness-of-fit in linear models
- Testing mutual independence in high dimension via distance covariance
- The affinely invariant distance correlation
Cited in
(19)- Some tests of independence based on maximum mean discrepancy and ranks of nearest neighbors
- Distance multivariance: new dependence measures for random vectors
- Statistical Inferences for Complex Dependence of Multimodal Imaging Data
- Distance-based and RKHS-based dependence metrics in high dimension
- Distance-covariance-based tests for heteroscedasticity in nonlinear regressions
- Large-scale multiple inference of collective dependence with applications to protein function
- Asymptotic distributions of high-dimensional distance correlation inference
- Counterexamples to the classical central limit theorem for triplewise independent random variables having a common arbitrary margin
- Nonlinear functional canonical correlation analysis via distance covariance
- Causal Inference on Discrete Data via Estimating Distance Correlations
- HIGH-ORDER CONDITIONAL DISTANCE COVARIANCE WITH CONDITIONAL MUTUAL INDEPENDENCE
- A new framework for distance and kernel-based metrics in high dimensions
- Distributed testing on mutual independence of massive multivariate data
- Fourier-type tests of mutual independence between functional time series
- Tests of mutual independence among several random vectors using univariate and multivariate ranks of nearest neighbours
- On some consistent tests of mutual independence among several random vectors of arbitrary dimensions
- Some copula-based tests of independence among several random variables having arbitrary probability distributions
- Test of independence for Hilbertian random variables
- Copula versions of distance multivariance and dHSIC via the distributional transform -- a general approach to construct invariant dependence measures
This page was built for publication: Distance metrics for measuring joint dependence with application to causal inference
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5208070)
