Modified martingale difference correlations

DOI10.1080/10485252.2021.1941951zbMath1472.62087OpenAlexW3174060901MaRDI QIDQ5012350

JingKe Zhou, Li Xing Zhu

Publication date: 1 September 2021

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2021.1941951

zbMATH Keywords

income distributionvariable screeningdistance correlationpartial correlationmartingale difference correlationconditional mean independence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Martingales with discrete parameter (60G42) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to social sciences (62P25)

Related Items (1)

Independence tests with random subspace of two random vectors in high dimension

Cites Work

• Partial distance correlation with methods for dissimilarities
• Measuring and testing dependence by correlation of distances
• Partial martingale difference correlation
• A consistent model specification test with mixed discrete and continuous data
• Robust rank correlation based screening
• The empirical distribution function of residuals from generalised regression
• Non-parametric Estimation of the Residual Distribution
• On measures of dependence
• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• High Dimensional Variable Selection via Tilting
• Feature Screening via Distance Correlation Learning
• Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening

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