SEMINARS
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Fall 2008
STATISTICS
COLLOQUIUM
Wednesday, September 17, 2008
3:30-4:00—Refreshments
4:00-5:00—Talk
Yost Hall, Room 101
Maria Rizzo, Ph.D.
Assistant Professor
Department of Mathematics and Statistics, Bowling Green State University
Distance Correlation
Distance correlation is a new measure of dependence between random vectors. Distance covariance and distance correlation are analogous to product-moment covariance and correlation, but unlike the classical definition of correlation, distance correlation is zero only if the random vectors are independent. The empirical distance dependence measures are based on certain Euclidean distances between sample elements rather than sample moments, yet have a compact representation analogous to the classical covariance and correlation. Definitions, motivation, and properties of distance covariance and correlation, as well as selected Monte Carlo results will be discussed.
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