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Dependence structures - estimation and visualization using distance multivariance. (arXiv:1712.06532v1 [math.ST])
来源于:arXiv
Distance multivariance was recently introduced as a measure of multivariate
dependence. Here we discuss several new aspects and present a guide to its use.
In particular, $m$-multivariance is defined, which is a new dependence measure
yielding tests for pairwise independence and independence of higher order.
These tests are computational feasible and they are consistent against all
alternatives. Based on distance multivariance we also propose a visualization
scheme for higher order dependence which fits into/extends the framework of
probabilistic graphical models. Finally, it is indicated by several simulation
studies that distance multivariance and the new measures match or outperform
any other recently introduced multivariate independence measure. Many examples
are included. All functions for the use of distance multivariance in
applications are published in the R-package 'multivariance'. 查看全文>>