Affiliation:
1. Department of Statistics, University of Pittsburgh, 230 S Bouquet Street, Pittsburgh, Pennsylvania 15260, U.S.A
Abstract
Summary
We generalize the sign covariance introduced by Bergsma & Dassios (2014) to multivariate random variables and beyond. The new interpoint-ranking sign covariance is applicable to general types of random objects as long as a meaningful similarity measure can be defined, and it is shown to be zero if and only if the two random variables are independent. The test statistic is a $U$-statistic, whose large-sample behaviour guarantees that the proposed test is consistent against general types of alternatives. Numerical experiments and data analyses demonstrate the superior empirical performance of the proposed method.
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,General Agricultural and Biological Sciences,Agricultural and Biological Sciences (miscellaneous),General Mathematics,Statistics and Probability
Cited by
1 articles.
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