Measuring and Testing Mutual Dependence of Multivariate Functional Data

Krzyśko Mirosław () and Smaga Łukasz ()
Additional contact information
Krzyśko Mirosław: Interfaculty Institute of Mathematics and Statistics, The President Stanisław Wojciechowski State University of Applied Sciences, in Kalisz, Poland .
Smaga Łukasz: Faculty of Mathematics and Computer Science, Adam Mickiewicz University, Poznań, Poland .

Statistics in Transition New Series, 2020, vol. 21, issue 3, 21-37

Abstract: This paper considers new measures of mutual dependence between multiple multivariate random processes representing multidimensional functional data. In the case of two processes, the extension of functional distance correlation is used by selecting appropriate weight function in the weighted distance between characteristic functions of joint and marginal distributions. For multiple random processes, two measures are sums of squared measures for pairwise dependence. The dependence measures are zero if and only if the random processes are mutually independent. This property is used to construct permutation tests for mutual independence of random processes. The finite sample properties of these tests are investigated in simulation studies. The use of the tests and the results of simulation studies are illustrated with an example based on real data.

Keywords: characteristic function; dependence measure; distance covariance; multivariate functional data; permutation method; test of independence.. (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.21307/stattrans-2020-042 (text/html)

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:vrs:stintr:v:21:y:2020:i:3:p:21-37:n:9

DOI: 10.21307/stattrans-2020-042

Access Statistics for this article

Statistics in Transition New Series is currently edited by Włodzimierz Okrasa

More articles in Statistics in Transition New Series from Statistics Poland
Bibliographic data for series maintained by Peter Golla ().