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2015 Partial martingale difference correlation
Trevor Park, Xiaofeng Shao, Shun Yao
Electron. J. Statist. 9(1): 1492-1517 (2015). DOI: 10.1214/15-EJS1047


We introduce the partial martingale difference correlation, a scalar-valued measure of conditional mean dependence of $Y$ given $X$, adjusting for the nonlinear dependence on $Z$, where $X$, $Y$ and $Z$ are random vectors of arbitrary dimensions. At the population level, partial martingale difference correlation is a natural extension of partial distance correlation developed recently by Székely and Rizzo [14], which characterizes the dependence of $Y$ and $X$, after controlling for the nonlinear effect of $Z$. It extends the martingale difference correlation first introduced in Shao and Zhang [10] just as partial distance correlation extends the distance correlation in Székely, Rizzo and Bakirov [13]. Sample partial martingale difference correlation is also defined building on some new results on equivalent expressions of sample martingale difference correlation. Numerical results demonstrate the effectiveness of these new dependence measures in the context of variable selection and dependence testing.


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Trevor Park. Xiaofeng Shao. Shun Yao. "Partial martingale difference correlation." Electron. J. Statist. 9 (1) 1492 - 1517, 2015.


Received: 1 February 2015; Published: 2015
First available in Project Euclid: 7 July 2015

zbMATH: 1329.62272
MathSciNet: MR3367668
Digital Object Identifier: 10.1214/15-EJS1047

Rights: Copyright © 2015 The Institute of Mathematical Statistics and the Bernoulli Society


Vol.9 • No. 1 • 2015
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