The affinely invariant distance correlation

DOI10.3150/13-BEJ558zbMath1320.62133arXiv1210.2482OpenAlexW2094673481MaRDI QIDQ470078

Johannes Dueck, Donald St. P. Richards, Tilmann Gneiting, Dominic Edelmann

Publication date: 11 November 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.2482

zbMATH Keywords

vector time seriesmultivariate normal distributiondistance covariancedistance correlationaffine invariancemultivariate independencezonal polynomialhypergeometric function of matrix argumentwind forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Measures of association (correlation, canonical correlation, etc.) (62H20) Meteorology and atmospheric physics (86A10)

Related Items (18)

Energy statistics: a class of statistics based on distances ⋮ Generalization of the HSIC and distance covariance using PDI kernels ⋮ Applications of distance correlation to time series ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ Correction: ``Discussion of: Brownian distance covariance ⋮ Expected Conditional Characteristic Function-based Measures for Testing Independence ⋮ Four simple axioms of dependence measures ⋮ Distance-based and RKHS-based dependence metrics in high dimension ⋮ Partial distance correlation with methods for dissimilarities ⋮ The distance standard deviation ⋮ Distance correlation coefficients for Lancaster distributions ⋮ Distance Metrics for Measuring Joint Dependence with Application to Causal Inference ⋮ Partial martingale difference correlation ⋮ A basic treatment of the distance covariance ⋮ Variable selection in regression using maximal correlation and distance correlation ⋮ Statistical dependence: beyond Pearson's \(\rho\) ⋮ A regression perspective on generalized distance covariance and the Hilbert-Schmidt independence criterion ⋮ A generalization of an integral arising in the theory of distance correlation

Uses Software

• energy

Cites Work

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