English

Distance multivariance: New dependence measures for random vectors

Probability 2019-11-20 v2 Statistics Theory Statistics Theory

Abstract

We introduce two new measures for the dependence of n2n \ge 2 random variables: distance multivariance and total distance multivariance. Both measures are based on the weighted L2L^2-distance of quantities related to the characteristic functions of the underlying random variables. These extend distance covariance (introduced by Sz\'ekely, Rizzo and Bakirov) from pairs of random variables to nn-tuplets of random variables. We show that total distance multivariance can be used to detect the independence of nn random variables and has a simple finite-sample representation in terms of distance matrices of the sample points, where distance is measured by a continuous negative definite function. Under some mild moment conditions, this leads to a test for independence of multiple random vectors which is consistent against all alternatives.

Keywords

Cite

@article{arxiv.1711.07775,
  title  = {Distance multivariance: New dependence measures for random vectors},
  author = {Björn Böttcher and Martin Keller-Ressel and René L. Schilling},
  journal= {arXiv preprint arXiv:1711.07775},
  year   = {2019}
}

Comments

title changed; completely restructured; new content: comparison with dHSIC and Example 5.2; accepted for publication in AoS

R2 v1 2026-06-22T22:52:39.566Z