9月15日 上海财经大学许凯博士学术报告

发布时间:2017-09-12浏览次数:97

报 告 人:许凯 博士(上海财经大学)

报告题目:Projection correlation between two random vectors

报告时间:2017年9月15日(周五)上午10:00-11:00

报告地点:静远楼1506报告厅

报告摘要:

    We propose projection correlation to characterize dependence between two random vectors. Projection correlation has several appealing properties. It equals zero if and only if the two random vectors are independent; it  is not sensitive to the dimensions of the two random vectors; it is invariant with respect to the group of orthogonal transformations;and  its estimation is free of tuning parameters and does not require  moment conditions on the random vectors. We show that the  sample estimate of the projection correction is $n$-consistent if the two random vectors are independent and  root-$n$-consistent otherwise. Monte Carlo simulation studies indicate that the projection correlation has higher power than the distance correlation and the ranks of distances in tests of independence, especially when the dimensions are relatively large or the moment conditions required by the distance correlation are violated.