Estimation of Distance Correlation: a Simulation-based Comparative Study

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Estimation of Distance Correlation: a Simulation-based Comparative StudyData
2023Resumo
[Abstract] The notion of distance correlationwas introduced to measure the dependence between
two random vectors, not necessarily of equal dimensions, in a multivariate setting. In their work,
Sz´ekely et al. (2007) proposed an estimator for the squared distance covariance, and they also
proved that this estimator is a V-statistic. On the other hand, Sz´ekely and Rizzo (2014) introduced
an unbiased version of the squared sample distance covariance, which was subsequently
identified as a U-statistic in Huo and Sz´ekely (2016). In this study, a simulation is conducted to
compare both distance correlation estimators: the U-estimator and the V-estimator. The analysis
assesses their efficiency (mean squared error) and contrasts the computational times of both
approaches across various dependence structures
Palabras chave
Correlación de distancia
Vectores aleatorios
Vectores aleatorios
Descrición
Cursos e Congresos, C-155
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Attribution 4.0 International (CC BY 4.0)