A Basic Treatment of the Distance Covariance
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Publication:6402679
DOI10.1007/S13571-021-00248-ZarXiv2206.10135MaRDI QIDQ6402679FDOQ6402679
Authors: Dominic Edelmann, Tobias Terzer, Donald Richards 
Publication date: 21 June 2022
Abstract: The distance covariance of Sz'ekely, et al. [23] and Sz'ekely and Rizzo [21], a powerful measure of dependence between sets of multivariate random variables, has the crucial feature that it equals zero if and only if the sets are mutually independent. Hence the distance covariance can be applied to multivariate data to detect arbitrary types of non-linear associations between sets of variables. We provide in this article a basic, albeit rigorous, introductory treatment of the distance covariance. Our investigations yield an approach that can be used as the foundation for presentation of this important and timely topic even in advanced undergraduate- or junior graduate-level courses on mathematical statistics.
Characteristic functions; other transforms (60E10) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)
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