The distance standard deviation

DOI10.1214/19-AOS1935zbMATH Open1462.62357arXiv1705.05777OpenAlexW3113308802MaRDI QIDQ85655FDOQ85655

Daniel Vogel, Donald Richards, Dominic Edelmann, Donald Richards, Daniel Vogel, Dominic Edelmann

Publication date: 1 December 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The distance standard deviation, which arises in distance correlation analysis of multivariate data, is studied as a measure of spread. The asymptotic distribution of the empirical distance standard deviation is derived under the assumption of finite second moments. Applications are provided to hypothesis testing on a data set from materials science and to multivariate statistical quality control. The distance standard deviation is compared to classical scale measures for inference on the spread of heavy-tailed distributions. Inequalities for the distance variance are derived, proving that the distance standard deviation is bounded above by the classical standard deviation and by Gini's mean difference. New expressions for the distance standard deviation are obtained in terms of Gini's mean difference and the moments of spacings of order statistics. It is also shown that the distance standard deviation satisfies the axiomatic properties of a measure of spread.

Full work available at URL: https://arxiv.org/abs/1705.05777

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zbMATH Keywords

characteristic functionasymptotic efficiencydispersive orderingdistance correlation coefficientdistance varianceGini's mean differencemeasure of spreadorder statisticsample spacingstochastic orderingU-statistic

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Nonparametric hypothesis testing (62G10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) Order statistics; empirical distribution functions (62G30)

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Cited In (7)

• A nonparametric test for comparing survival functions based on restricted distance correlation
• Application of distance standard deviation in functional data analysis
• Early detection of ovarian cancer by wavelet analysis of protein mass spectra
• A consistent version of distance covariance for right‐censored survival data and its application in hypothesis testing
• A basic treatment of the distance covariance
• dcortools
• A regression perspective on generalized distance covariance and the Hilbert-Schmidt independence criterion

Uses Software

• energy
• multivariance
• dcortools

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