Related papers: A new coefficient of separation
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…
We propose a framework for determining whether the causal dependence of an outcome $Y$ on a covariate $X$ changes at a given time point, given confounders $\boldsymbol{Z}$. For instance, in financial markets, the effect of a market…
A popular measure of association is the tail dependence coefficient which measures the strength of dependence in either the lower-left or upper-right tail of a bivariate distribution. In this paper, we develop the idea of quantile…
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…
We propose a new method to test conditional independence of two real random variables $Y$ and $Z$ conditionally on an arbitrary third random variable $X$. %with $F_{.|.}$ representing conditional distribution functions, The partial copula…
The quotient correlation is defined here as an alternative to Pearson's correlation that is more intuitive and flexible in cases where the tail behavior of data is important. It measures nonlinear dependence where the regular correlation…
For a bivariate time series $((X_i,Y_i))_{i=1,...,n}$ we want to detect whether the correlation between $X_i$ and $Y_i$ stays constant for all $i = 1,...,n$. We propose a nonparametric change-point test statistic based on Kendall's tau and…
The correlation distance quantifies the statistical independence of two classical or quantum systems, via the distance from their joint state to the product of the marginal states. Tight lower bounds are given for the mutual information…
We develop a new statistical procedure to test whether the dependence structure is identical between two groups. Rather than relying on a single index such as Pearson's correlation coefficient or Kendall's Tau, we consider the entire…
Measuring a strength of dependence of random variables is an important problem in statistical practice. In this paper, we propose a new function valued measure of dependence of two random variables. It allows one to study and visualize…
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…
We propose a coefficient that measures dependence in paired samples of functions. It has properties similar to the Pearson correlation, but differs in significant ways: (i) it is designed to measure dependence between curves, (ii) it…
We study the problem of testing \emph{conditional independence} for discrete distributions. Specifically, given samples from a discrete random variable $(X, Y, Z)$ on domain $[\ell_1]\times[\ell_2] \times [n]$, we want to distinguish, with…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
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…
Classical spectral analysis is based on the discrete Fourier transform of the auto-covariances. In this paper we investigate the asymptotic properties of new frequency domain methods where the auto-covariances in the spectral density are…
Suppose we are given the conditional probability of one variable given some other variables.Normally the full joint distribution over the conditioning variablesis required to determine the probability of the conditioned variable.Under what…
The notion of causal effect is fundamental across many scientific disciplines. Traditionally, quantitative researchers have studied causal effects at the level of variables; for example, how a certain drug dose (W) causally affects a…
In the present paper, we discuss for the first time the theoretical Kendall correlation coefficient for non-identical bivariate data. In the non-identical case, we first introduce a theoretical Kendall correlation coefficient $\tau_n$ and…
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…