Distance correlation coefficients for Lancaster distributions

DOI10.1016/J.JMVA.2016.10.012zbMATH Open1352.60015arXiv1502.01413OpenAlexW1509823542MaRDI QIDQ730422FDOQ730422

Authors: Johannes Dueck, Dominic Edelmann, Donald Richards 

Publication date: 28 December 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We consider the problem of calculating distance correlation coefficients between random vectors whose joint distributions belong to the class of Lancaster distributions. We derive under mild convergence conditions a general series representation for the distance covariance for these distributions. To illustrate the general theory, we apply the series representation to derive explicit expressions for the distance covariance and distance correlation coefficients for the bivariate normal distribution and its generalizations of Lancaster type, the multivariate normal distributions, and the bivariate gamma, Poisson, and negative binomial distributions which are of Lancaster type.

Full work available at URL: https://arxiv.org/abs/1502.01413

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zbMATH Keywords

characteristic functionmultivariate normal distributionaffine invariancedistance correlation coefficientbivariate normal distributionLancaster distributionsbivariate Poisson distributionbivariate gamma distributionbivariate negative binomial distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Measures of association (correlation, canonical correlation, etc.) (62H20) Classical hypergeometric functions, ({}_2F_1) (33C05) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

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Cited In (7)

• On relationships between the Pearson and the distance correlation coefficients
• Rényi 100, quantitative and qualitative (in)dependence
• An Updated Literature Review of Distance Correlation and Its Applications to Time Series
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• The distance standard deviation
• Conditional Distance Correlation
• A regression perspective on generalized distance covariance and the Hilbert-Schmidt independence criterion

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