Measuring and testing dependence by correlation of distances
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Publication:85647
DOI10.1214/009053607000000505zbMATH Open1129.62059arXiv0803.4101OpenAlexW3106063097WikidataQ56140853 ScholiaQ56140853MaRDI QIDQ85647FDOQ85647
Authors: Gábor J. Székely, Maria L. Rizzo, Nail K. Bakirov, G. J. Székely, Maria L. Rizzo, N. K. Bakirov 
Publication date: 1 December 2007
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Distance correlation is a new measure of dependence between random vectors. Distance covariance and distance correlation are analogous to product-moment covariance and correlation, but unlike the classical definition of correlation, distance correlation is zero only if the random vectors are independent. The empirical distance dependence measures are based on certain Euclidean distances between sample elements rather than sample moments, yet have a compact representation analogous to the classical covariance and correlation. Asymptotic properties and applications in testing independence are discussed. Implementation of the test and Monte Carlo results are also presented.
Full work available at URL: https://arxiv.org/abs/0803.4101
Recommendations
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)
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