Exact first moments of the RV coefficient by invariant orthogonal integration

François Bavaud

Journal of Multivariate Analysis, 2023, vol. 198, issue C

Abstract: The RV coefficient measures the similarity between two multivariate configurations, and its significance testing has attracted various proposals in the last decades. We present a new approach, the invariant orthogonal integration, permitting to obtain the exact first four moments of the RV coefficient under the null hypothesis.

Keywords: Invariant orthogonal integration; RV coefficient; Spectral moments; Weighted multidimensional scaling; Weingarten calculus (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.jmva.2023.105227

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