Measuring and testing dependence by correlation of distances

被引:1862
作者
Szekely, Gabor J. [1 ,2 ]
Rizzo, Maria L. [1 ]
Bakirov, Nail K. [3 ]
机构
[1] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA
[2] Hungarian Acad Sci, Renyi Inst Math, H-1051 Budapest, Hungary
[3] USC Russian Acad Sci, Inst Math, Ufa 450000, Russia
关键词
distance correlation; distance covariance; multivariate independence;
D O I
10.1214/009053607000000505
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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.
引用
收藏
页码:2769 / 2794
页数:26
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