相关论文: Distance Metrics for Measuring Joint Dependence wi…

The "maximum similarity correlation" definition introduced in this study is motivated by the seminal work of Szekely et al on "distance covariance" (Ann. Statist. 2007, 35: 2769-2794; Ann. Appl. Stat. 2009, 3: 1236-1265). Instead of using…

When observations are organized into groups where commonalties exist amongst them, the dependent random measures can be an ideal choice for modeling. One of the propositions of the dependent random measures is that the atoms of the…

The paper presents new metrics to quantify and test for (i) the equality of distributions and (ii) the independence between two high-dimensional random vectors. We show that the energy distance based on the usual Euclidean distance cannot…

Optimal transport and Wasserstein distances are flourishing in many scientific fields as a means for comparing and connecting random structures. Here we pioneer the use of an optimal transport distance between L\'{e}vy measures to solve a…

We introduce a new measure of interdependence among the components of a random vector along the main diagonal of the vector copula, i.e. along the line $u_{1}=\ldots=u_{J}$, for $\left(u_{1},\ldots,u_{J}\right)\in\left[0,1\right]^{J}$. Our…

A framework for quantifying dependence between random vectors is introduced. With the notion of a collapsing function, random vectors are summarized by single random variables, called collapsed random variables in the framework. Using this…

Independence analysis is an indispensable step before regression analysis to find out essential factors that influence the objects. With many applications in machine Learning, medical Learning and a variety of disciplines, statistical…

The purpose of this paper is twofold. First, we provide a novel characterization of independence of random vectors based on the checkerboard approximation to a multivariate copula. Using this result, we then propose a new family of tests of…

Distance covariance and distance correlation have long been regarded as natural measures of dependence between two random vectors, and have been used in a variety of situations for testing independence. Despite their popularity, the…

We consider the problem of testing for long-range dependence in time-varying coefficient regression models, where the covariates and errors are locally stationary, allowing complex temporal dynamics and heteroscedasticity. We develop KPSS,…

Although there is an extensive literature on the eigenvalues of high-dimensional sample covariance matrices, much of it is specialized to independent components (IC) models -- in which observations are represented as linear transformations…

In this paper we study covariance estimation with missing data. We consider missing data mechanisms that can be independent of the data, or have a time varying dependency. Additionally, observed variables may have arbitrary (non uniform)…

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…

Test of independence plays a fundamental role in many statistical techniques. Among the nonparametric approaches, the distance-based methods (such as the distance correlation based hypotheses testing for independence) have numerous…

Graphical models are commonly used to represent conditional dependence relationships between variables. There are multiple methods available for exploring them from high-dimensional data, but almost all of them rely on the assumption that…

We propose a test of independence of two multivariate random vectors, given a sample from the underlying population. Our approach, which we call MINT, is based on the estimation of mutual information, whose decomposition into joint and…

In this paper, the defining properties of a valid measure of the dependence between two random variables are reviewed and complemented with two original ones, shown to be more fundamental than other usual postulates. While other popular…

Strict stationarity is a common assumption used in the time series literature in order to derive asymptotic distributional results for second-order statistics, like sample autocovariances and sample autocorrelations. Focusing on weak…

Seemingly unrelated regression models generalize linear regression models by considering multiple regression equations that are linked by contemporaneously correlated disturbances. Robust inference for seemingly unrelated regression models…

Influence diagnosis is important since presence of influential observations could lead to distorted analysis and misleading interpretations. For high-dimensional data, it is particularly so, as the increased dimensionality and complexity…