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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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 Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Biometrika
Jahr:
2018
Band / Volume:
105
Jahr / Monat:
2018-06
Quartal:
2. Quartal
Monat:
Jun
Heft / Issue:
3
Seitenangaben Beitrag:
547-562
Sprache:
en
Volltext / DOI:
doi:10.1093/biomet/asy021
Verlag / Institution:
Oxford University Press (OUP)
E-ISSN:
0006-34441464-3510
Publikationsdatum:
15.06.2018
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