Search Results - subject:"Distance covariance"

Time series estimation of the dynamic effects of disaster-type shocks

Davis, Richard A.; Ng, Serena - In: Journal of econometrics 235 (2023) 1, pp. 180-201

Persistent link: https://www.econbiz.de/10014434389

Measuring and Testing Mutual Dependence of Multivariate Functional Data

Krzyśko, Mirosław; Smaga, Łukasz - In: Statistics in Transition New Series 21 (2020) 3, pp. 21-37

This paper considers new measures of mutual dependence between multiple multivariate random processes representing multidimensional functional data. In the case of two processes, the extension of functional distance correlation is used by selecting appropriate weight function in the weighted...

Persistent link: https://www.econbiz.de/10012600256

Measuring and testing mutual dependence of multivariate functional data

Krzyśko, Mirosław; Smaga, Łukasz - In: Statistics in transition : an international journal of … 21 (2020) 3, pp. 21-37

Persistent link: https://www.econbiz.de/10012291515

Goodness-of-fit testing for time series models via distance covariance

Wan, Phyllis; Davis, Richard A. - In: Journal of econometrics 227 (2022) 1, pp. 4-24

Persistent link: https://www.econbiz.de/10013441619

Covariates distributions balancing for continuous treatment

Jiang, Qingshan; Xu, Li; Huang, Can - In: Economics letters 217 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013465162

Variable selection and direction estimation for single-index models via DC-TGDR method

Zhong, Wei; Liu, Xi; Ma, Shuangge - 2018

Covariance (DC-TGDR) between the single index and response variable. Due to the appealing property of distance covariance which … dimensional single-index models. We develop an efficient Threshold Gradient Directed Regularization method via maximizing Distance …

Persistent link: https://www.econbiz.de/10012433199

A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models

Fan, Jianqing; Feng, Yang; Xia, Lucy - In: Journal of econometrics 218 (2020) 1, pp. 119-139

Persistent link: https://www.econbiz.de/10012482935

Direction estimation in single-index models via distance covariance

Sheng, Wenhui; Yin, Xiangrong - In: Journal of Multivariate Analysis 122 (2013) C, pp. 148-161

We introduce a new method for estimating the direction in single-index models via distance covariance. Our method keeps …

Persistent link: https://www.econbiz.de/10010702797

A martingale-difference-divergence-based test for specification

Su, Liangjun; Zheng, Xin - In: Economics letters 156 (2017), pp. 162-167

Persistent link: https://www.econbiz.de/10011822395

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

coordinates that ensure the validity of certain limit theorems. This new test is based on an unbiased estimator of distance … covariance, and the resulting t-test is unbiased for every sample size greater than three and all significance levels. The …

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