The distance standard deviation

DOI10.1214/19-AOS1935MaRDI QIDQ85655zbMATH OpenOpenAlexFDO

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

Publication date 1 December 2020

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

Full work available at URL https://arxiv.org/abs/1705.05777, https://projecteuclid.org/euclid.aos/1607677240

zbMATH Keywords

asymptotic efficiencycharacteristic functiondispersive orderingdistance correlation coefficientdistance varianceGini's mean differencemeasure of spreadorder statisticsample spacingstochastic orderingU-statistic

Mathematics Subject Classification ID

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

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.

Review text

The main contribution of this paper is the demonstration of the statistical properties of the empirical distance standard deviation. Namely, the robustness to outliers is established. Moreover, it is more suitable for heavy-tailed distributions comparing with commonly used mean deviation and Gini's mean difference. It is to be noted that, for multivariate random variables, the distance standard deviation summarizes the spread as a single value, which is important for many practical tasks.

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Cited in

(12)

• A basic treatment of the distance covariance
• A regression perspective on generalized distance covariance and the Hilbert-Schmidt independence criterion
• dcortools
• Bounds for a multivariate extension of range over standard deviation based on the Mahalanobis distance
• A consistent version of distance covariance for right‐censored survival data and its application in hypothesis testing
• 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 note on distance variance for categorical variables
• \underline{Ma}ximum projection \underline{Gi}ni \underline{C}orrelation (MaGiC) for mixed categorical and numerical data
• On the properties of distance covariance for categorical data: robustness, sure screening, and approximate null distributions
• What is ``standard about the standard deviation?

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Uses Software

• energy
• dcortools
• multivariance

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