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Title:

Symmetric rank covariances: a generalized framework for nonparametric measures of dependence

Document type:
Zeitschriftenaufsatz
Author(s):
Weihs, Luca; Drton, Mathias; Meinshausen, Nicolai
Abstract:
The need to test whether two random vectors are independent has spawned many competing measures of dependence. We focus on nonparametric measures that are invariant under strictly increasing transformations, such as Kendall’s tau, Hoeffding’s D⁠, and the Bergsma–Dassios sign covariance. Each exhibits symmetries that are not readily apparent from their definitions. Making these symmetries explicit, we define a new class of multivariate nonparametric measures of dependence that we call symmetric r...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Biometrika
Year:
2018
Journal volume:
105
Year / month:
2018-06
Quarter:
2. Quartal
Month:
Jun
Journal issue:
3
Pages contribution:
547-562
Language:
en
Fulltext / DOI:
doi:10.1093/biomet/asy021
Publisher:
Oxford University Press (OUP)
E-ISSN:
0006-34441464-3510
Date of publication:
15.06.2018
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