Distance metrics for measuring joint dependence with application to causal inference

DOI10.1080/01621459.2018.1513364zbMATH Open1428.62337arXiv1711.09179OpenAlexW2962830967WikidataQ130534058 ScholiaQ130534058MaRDI QIDQ5208070FDOQ5208070

Authors: Shubhadeep Chakraborty, Xianyang Zhang 

Publication date: 15 January 2020

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1711.09179

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zbMATH Keywords

bootstrapdirected acyclic graphdistance covariance\(U\)-statistic\(V\)-statisticinteraction dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Analysis of variance and covariance (ANOVA) (62J10)

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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
• Causal Inference on Discrete Data via Estimating Distance Correlations
• HIGH-ORDER CONDITIONAL DISTANCE COVARIANCE WITH CONDITIONAL MUTUAL INDEPENDENCE
• Nonlinear functional canonical correlation analysis via distance covariance
• Distributed testing on mutual independence of massive multivariate data
• A new framework for distance and kernel-based metrics in high dimensions
• Tests of mutual independence among several random vectors using univariate and multivariate ranks of nearest neighbours
• Fourier-type tests of mutual independence between functional time series
• 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

Uses Software

• energy

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