Search Results - subject:"Distance correlation"

The functional distance-based approach : an application on long-term Metropolitan Development

Fortuna, Francesca; Naccarato, Alessia; Salvatici, Luca - In: Socio-economic planning sciences : the international … 94 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014552614

Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...

Persistent link: https://www.econbiz.de/10014514018

Targeting predictors via partial distance correlation with applications to financial forecasting

Yousuf, Kashif; Feng, Yang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1007-1019

Persistent link: https://www.econbiz.de/10013539410

Empirical characteristic functions-based estimation and distance correlation for locally stationary processes

Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016

estimation. Furthermore, by extending the notion of distance correlation of Szekely, Rizzo and Bakirov (2007) to locally …

Persistent link: https://www.econbiz.de/10011588694

Empirical characteristic functions-based estimation and distance correlation for locally stationary processes

Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016 - Version: November 1, 2016

estimation. Furthermore, by extending the notion of distance correlation of Szekely, Rizzo and Bakirov (2007) to locally …

Persistent link: https://www.econbiz.de/10011570173

A multivariate distance nonlinear causality test based on partial distance correlation : a machine learning application to energy futures

Creamer Guillén, Germán; Lee, Chihoon - In: Quantitative finance 19 (2019) 9, pp. 1531-1542

Persistent link: https://www.econbiz.de/10012194804

A Boosting Algorithm for Estimating Generalized Propensity Scores with Continuous Treatments

Zhu, Yeying; Coffman, Donna L.; Ghosh, Debashis - In: Journal of Causal Inference 3 (2015) 1, pp. 25-40

Abstract In this article, we study the causal inference problem with a continuous treatment variable using propensity score-based methods. For a continuous treatment, the generalized propensity score is defined as the conditional density of the treatment-level given covariates (confounders). The...

Persistent link: https://www.econbiz.de/10014610816

A generalization of an integral arising in the theory of distance correlation

Dueck, Johannes; Edelmann, Dominic; Richards, Donald - In: Statistics & Probability Letters 97 (2015) C, pp. 116-119

field of distance correlation, a concept developed by Székely et al. (2007) to measure dependence between random variables. …

Persistent link: https://www.econbiz.de/10011189316

The distance correlation t-test of independence in high dimension

Székely, Gábor J.; Rizzo, Maria L. - In: Journal of Multivariate Analysis 117 (2013) C, pp. 193-213

Distance correlation is extended to the problem of testing the independence of random vectors in high dimension …. Distance correlation characterizes independence and determines a test of multivariate independence for random vectors in … arbitrary dimension. In this work, a modified distance correlation statistic is proposed, such that under independence the …

Persistent link: https://www.econbiz.de/10011042021

On the uniqueness of distance covariance

Székely, Gábor J.; Rizzo, Maria L. - In: Statistics & Probability Letters 82 (2012) 12, pp. 2278-2282

Distance covariance and distance correlation are non-negative real numbers that characterize the independence of random …

Persistent link: https://www.econbiz.de/10011040141