publication . Article . Other literature type . Preprint . 2014

fast computing for distance covariance

Huo, Xiaoming; Szekely, Gabor J.;
Open Access
  • Published: 06 Oct 2014 Journal: Technometrics, volume 58, pages 435-447 (issn: 0040-1706, eissn: 1537-2723, Copyright policy)
  • Publisher: Informa UK Limited
Abstract
Distance covariance and distance correlation have been widely adopted in measuring dependence of a pair of random variables or random vectors. If the computation of distance covariance and distance correlation is implemented directly accordingly to its definition then its computational complexity is O($n^2$) which is a disadvantage compared to other faster methods. In this paper we show that the computation of distance covariance and distance correlation of real valued random variables can be implemented by an O(n log n) algorithm and this is comparable to other computationally efficient algorithms. The new formula we derive for an unbiased estimator for squared...
Subjects
free text keywords: Matérn covariance function, Covariance, Estimation of covariance matrices, Mahalanobis distance, Covariance function, Covariance intersection, Distance correlation, Econometrics, Rational quadratic covariance function, Statistics, Mathematics, Statistics - Computation, Statistics - Methodology

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publication . Article . Other literature type . Preprint . 2014

fast computing for distance covariance

Huo, Xiaoming; Szekely, Gabor J.;