期刊
COMPUTATIONAL STATISTICS & DATA ANALYSIS
卷 180, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.csda.2022.107618
关键词
Generalized martingale difference; divergence; L?vy measure; Martingale difference divergence
Martingale difference divergence measures the departure of conditional mean independence of two random vectors. Generalized martingale difference divergence and its correlation are developed based on symmetric Levy measures to detect such an independence. Then the proposed generalized martingale difference correlation is utilized as a marginal utility to do high-dimensional variable screening.
Martingale difference divergence measures the departure of conditional mean independence of two random vectors. Generalized martingale difference divergence and its correlation are developed based on symmetric Levy measures to detect such an independence. Then the proposed generalized martingale difference correlation is utilized as a marginal utility to do high-dimensional variable screening. Both simulation results and real data illustrations show the promising performance of the developed indexes. (c) 2022 Elsevier B.V. All rights reserved.
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