Distance Covariance, Independence, and Pairwise Differences
Abstract
(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 and . This approach deserves to be touched upon in modern courses on mathematical statistics. It makes use of distances of the type and , where is an independent copy of . This raises natural questions about independence of variables like and , about the connection between Cov and the covariance between doubly centered distances, and about necessary and sufficient conditions for independence. We show some basic results and present a new and nontechnical counterexample to a common fallacy, which provides more insight. We also show some motivating examples involving bivariate distributions and contingency tables, which can be used as didactic material for introducing distance correlation.
Cite
@article{arxiv.2406.13052,
title = {Distance Covariance, Independence, and Pairwise Differences},
author = {Jakob Raymaekers and Peter J. Rousseeuw},
journal= {arXiv preprint arXiv:2406.13052},
year = {2024}
}