Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series

DOI10.1080/01621459.2016.1240083zbMath1398.62238OpenAlexW2529226699MaRDI QIDQ4690952

Chung Eun Lee, Xiao-Feng Shao

Publication date: 23 October 2018

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Martingale_Difference_Divergence_Matrix_and_Its_Application_to_Dimension_Reduction_for_Stationary_Multivariate_Time_Series/4001250

zbMATH Keywords

nonlinear dependenceprincipal componentslow rankconditional mean

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (9)

Quantile Martingale Difference Divergence for Dimension Reduction ⋮ Unnamed Item ⋮ Estimation for single-index models via martingale difference divergence ⋮ An improved sufficient dimension reduction-based kriging modeling method for high-dimensional evaluation-expensive problems ⋮ Generalized martingale difference divergence: detecting conditional mean independence with applications in variable screening ⋮ Unnamed Item ⋮ Distance-covariance-based tests for heteroscedasticity in nonlinear regressions ⋮ A kernel-based measure for conditional mean dependence ⋮ Martingale-difference-divergence-based tests for goodness-of-fit in quantile models

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