Projection correlation between two random vectors

doi:10.1093/biomet/asx043

CORC > 上海财经大学 > 上海财经大学

	Projection correlation between two random vectors
	Zhu, Liping 1; Xu, Kai 2; Li, Runze 3; Zhong, Wei 4
刊名	BIOMETRIKA
	2017-12
卷号	104 期号:4 页码:829-843
关键词	Distance correlation Projection correlation Ranks of distance
ISSN号	0006-3444
DOI	10.1093/biomet/asx043
英文摘要	We propose the use of projection correlation to characterize dependence between two random vectors. Projection correlation has several appealing properties. It equals zero if and only if the two random vectors are independent, it is not sensitive to the dimensions of the two random vectors, it is invariant with respect to the group of orthogonal transformations, and its estimation is free of tuning parameters and does not require moment conditions on the random vectors. We show that the sample estimate of the projection correction is consistent if the two random vectors are independent and root--consistent otherwise. Monte Carlo simulation studies indicate that the projection correlation has higher power than the distance correlation and the ranks of distances in tests of independence, especially when the dimensions are relatively large or the moment conditions required by the distance correlation are violated.
WOS研究方向	Life Sciences & Biomedicine - Other Topics ; Mathematical & Computational Biology ; Mathematics
语种	英语
出版者	OXFORD UNIV PRESS
WOS记录号	WOS:000417325200006
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/830]
专题	上海财经大学
通讯作者	Zhu, Liping
作者单位	1.Renmin Univ China, Inst Stat & Big Data, 59 Zhongguancun Ave, Beijing 100872, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 3.Penn State Univ, Dept Stat, University Pk, PA 16802 USA; 4.Xiamen Univ, Sch Econ, Wang Yanan Inst Studies Econ, Xiamen 361005, Fujian, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Liping,Xu, Kai,Li, Runze,et al. Projection correlation between two random vectors[J]. BIOMETRIKA,2017,104(4):829-843.
APA	Zhu, Liping,Xu, Kai,Li, Runze,&Zhong, Wei.(2017).Projection correlation between two random vectors.BIOMETRIKA,104(4),829-843.
MLA	Zhu, Liping,et al."Projection correlation between two random vectors".BIOMETRIKA 104.4(2017):829-843.