Distance multivariance: New dependence measures for random vectors
Abstract
We introduce two new measures for the dependence of random variables: distance multivariance and total distance multivariance. Both measures are based on the weighted -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 -tuplets of random variables. We show that total distance multivariance can be used to detect the independence of 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.
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