Generalized martingale difference divergence: Detecting conditional mean independence with applications in variable screening

Lu Li, Chenlu Ke, Xiangrong Yin and Zhou Yu

Computational Statistics & Data Analysis, 2023, vol. 180, issue C

Abstract: 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 Lévy 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.

Keywords: Generalized martingale difference divergence; Lévy measure; Martingale difference divergence (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947322001980
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:180:y:2023:i:c:s0167947322001980

DOI: 10.1016/j.csda.2022.107618

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().