Related papers: Local Lift Dependence Scale
We introduce a new test for conditional independence which is based on what we call the weighted generalised covariance measure (WGCM). It is an extension of the recently introduced generalised covariance measure (GCM). To test the null…
Detecting dependence between variables is a crucial issue in statistical science. In this paper, we propose a novel metric called label projection correlation to measure the dependence between numerical and categorical variables. The…
The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous…
Detecting conditional independencies plays a key role in several statistical and machine learning tasks, especially in causal discovery algorithms. In this study, we introduce LCIT (Latent representation based Conditional Independence…
We introduce two novel non-parametric statistical hypothesis tests. The first test, called the relative test of dependency, enables us to determine whether one source variable is significantly more dependent on a first target variable or a…
This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The…
We propose an estimator of the Hilbert-Schmidt Independence Criterion obtained from an appropriate modification of the usual estimator. We then get asymptotic normality of this estimator both under independence hypothesis and under the…
In this paper we introduce a new measure of conditional dependence between two random vectors ${\boldsymbol X}$ and ${\boldsymbol Y}$ given another random vector $\boldsymbol Z$ using the ball divergence. Our measure characterizes…
Measures of linear dependence (coherence) and nonlinear dependence (phase synchronization) between any number of multivariate time series are defined. The measures are expressed as the sum of lagged dependence and instantaneous dependence.…
The local a priori estimate for the finite element approximation is essential for underlying the local and parallel technique. It is well known that the constant coefficients in the inequality is independent of the mesh size. But it is not…
For a bivariate probability distribution, local dependence around a single point on the support is often formulated as the second derivative of the logarithm of the probability density function. However, this definition lacks the invariance…
Recently established, directed dependence measures for pairs $(X,Y)$ of random variables build upon the natural idea of comparing the conditional distributions of $Y$ given $X=x$ with the marginal distribution of $Y$. They assign pairs…
In the statistical inference for long range dependent time series the shape of the limit distribution typically depends on unknown parameters. Therefore, we propose to use subsampling. We show the validity of subsampling for general…
In this paper we study different concepts of independence for convex sets of probabilities. There will be two basic ideas for independence. The first is irrelevance. Two variables are independent when a change on the knowledge about one…
We study solutions to the stochastic fixed point equation $X\stackrel{d}{=}AX+B$ where the coefficients $A$ and $B$ are nonnegative random variables. We introduce the ``local dependence measure'' (LDM) and its Legendre-type transform to…
We introduce a family of local inhomogeneous mark-weighted summary statistics, of order two and higher, for general marked point processes. Depending on how the involved weight function is specified, these summary statistics capture…
A new method to measure nonlinear dependence between two variables is described using mutual information to analyze the separate linear and nonlinear components of dependence. This technique, which gives an exact value for the proportion of…
This paper is concerned with test of the conditional independence. We first establish an equivalence between the conditional independence and the mutual independence. Based on the equivalence, we propose an index to measure the conditional…
A local projection model is defined by a set of linear regressions that account for the associations between exogenous variables and an endogenous variable observed at different time points. While it is standard practice to separately…
We present a framework for selecting and developing measures of dependence when the goal is the quantification of a relationship between two variables, not simply the establishment of its existence. Much of the literature on dependence…