Summary and discussion of: “Brownian Distance Covariance”
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چکیده
Statistics Journal Club, 36-825 Benjamin Cowley and Giuseppe Vinci October 27, 2014 1 Summary 1.
منابع مشابه
Brownian distance covariance
Distance correlation is a new class of multivariate dependence coefficients applicable to random vectors of arbitrary and not necessarily equal dimension. Distance covariance and distance correlation are analogous to product-moment covariance and correlation, but generalize and extend these classical bivariate measures of dependence. Distance correlation characterizes independence: it is zero i...
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Szekely and Rizzo present a new interesting measure of correlation. The idea of using ∫ |φn(u, v)− φ n (u)φ n (v)|2 dμ(u, v), where φn, φ n , φ n are the empirical characteristic functions of a sample (Xi, Yi), i = 1, . . . , n, of independent copies of X and Y is not so novel. A. Feuerverger considered such measures in a series of papers [4]. Aiyou Chen and I have actually analyzed such a meas...
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