Related papers: Improved distance correlation estimation
Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…
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,…
Classical dependence measures such as Pearson correlation, Spearman's $\rho$, and Kendall's $\tau$ can detect only monotonic or linear dependence. To overcome these limitations, Szekely et al.(2007) proposed distance covariance as a…
In this paper, we propose a novel Euclidean-distance-based coefficient, named differential distance correlation, to measure the strength of dependence between a random variable $ Y \in \mathbb{R} $ and a random vector $ \boldsymbol{X} \in…
Distance correlation is a measure of dependence between two paired random vectors or matrices of arbitrary, not necessarily equal, dimensions. Unlike Pearson correlation, the population distance correlation coefficient is zero if and only…
Distance covariance and distance correlation are scalar coefficients that characterize independence of random vectors in arbitrary dimension. Properties, extensions, and applications of distance correlation have been discussed in the recent…
(To appear in The American Statistician.) Distance covariance (Sz\'ekely, Rizzo, and Bakirov, 2007) is a fascinating recent notion, which is popular as a test for dependence of any type between random variables $X$ and $Y$. This approach…
Distance covariance is a quantity to measure the dependence of two random vectors. We show that the original concept introduced and developed by Sz\'{e}kely, Rizzo and Bakirov can be embedded into a more general framework based on symmetric…
Distance covariance and distance correlation have been widely adopted in measuring dependence of a pair of random variables or random vectors. If the computation of distance covariance and distance correlation is implemented directly…
Distance correlation is a recent extension of Pearson's correlation, that characterises general statistical independence between Euclidean-space-valued random variables, not only linear relations. This review delves into how and when…
The concept of distance covariance/correlation was introduced recently to characterize dependence among vectors of random variables. We review some statistical aspects of distance covariance/correlation function and we demonstrate its…
The distance covariance of Sz\'ekely, et al. [23] and Sz\'ekely and Rizzo [21], a powerful measure of dependence between sets of multivariate random variables, has the crucial feature that it equals zero if and only if the sets are mutually…
Distance multivariance is a multivariate dependence measure, which can detect dependencies between an arbitrary number of random vectors each of which can have a distinct dimension. Here we discuss several new aspects, present a concise…
Besides the classical distinction of correlation and dependence, many dependence measures bear further pitfalls in their application and interpretation. The aim of this paper is to raise and recall awareness of some of these limitations by…
We propose three measures of mutual dependence between multiple random vectors. All the measures are zero if and only if the random vectors are mutually independent. The first measure generalizes distance covariance from pairwise dependence…
The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing whether two random vectors are independent. We propose an analogs…
Distance covariance is a popular measure of dependence between random variables. It has some robustness properties, but not all. We prove that the influence function of the usual distance covariance is bounded, but that its breakdown value…
Building upon the Chatterjee correlation (2021: J. Am. Stat. Assoc. 116, p2009) for two real-valued variables, this study introduces a generalized measure of directed association between two vector variables, real or complex-valued, and of…
Many statistical applications require the quantification of joint dependence among more than two random vectors. In this work, we generalize the notion of distance covariance to quantify joint dependence among d >= 2 random vectors. We…
Distance covariance is a measure of dependence between two random variables that take values in two, in general different, metric spaces, see Sz\'ekely, Rizzo and Bakirov (2007) and Lyons (2013). It is known that the distance covariance,…