Martingale difference divergence
WebJun 23, 2024 · In this paper, we propose a new independence measure, named conditional martingale difference divergence (CMDH), that can be treated as either a conditional or a marginal independence measure. Under regularity conditions, we show that the sure screening property of CMDH holds for both marginally and jointly active variables. Based … Web2 days ago · We achieve this by adopting the recently developed martingale difference divergence matrix (MDDM, Lee & Shao 2024) and penalized eigen-decomposition algorithms. To establish the consistency of our method with a high-dimensional predictor and a multivariate response, we develop a new concentration inequality for sample …
Martingale difference divergence
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WebMay 1, 2024 · Description mddm extends martingale difference divergence from a scalar to a matrix. It encodes the linear combinations of all univariate components in Y that are conditionally mean independent of X . Only the double-centering approach is applied. Usage Arguments Value mddm returns the martingale difference divergence matrix of Y … WebThe so-called functional martingale difference divergence (FMDD) is shown to fully characterize the conditional mean independence based on certain results …
WebMartingale difference correlation and its use in high-dimensional variable screening. Journal of the American Statistical Association, 109(507), 1302-1318. …
WebTo ameliorate some drawbacks of Martingale Difference Correlation (MDC) such as the asymmetry in the sense that for a pair of vectors, the value of MDC may not be equal to … WebIn this article, we propose the so-called volatility martingale difference divergence matrix (VMDDM) to quantify the conditional variance dependence of a random vector (Formula presented.) given (Formula presented.), building on the recent work on martigale difference divergence matrix (MDDM) that measures the conditional mean dependence.
WebApr 14, 2024 · In Sect. 2, the martingale difference divergence coefficient is introduced along with some remarkable properties. We present the new specification tests in Sect. 3. A theoretical justification for their proper behavior is given and a bootstrap scheme is proposed to calibrate these in practice.
WebMartingale Difference Divergence Description mddmeasures conditional mean dependence of Ygiven X, where each contains one variable (univariate) or more variables (multivariate). Usage mdd(X, Y, compute = "C", center = "U") Arguments Value mddreturns the squared martingale difference divergence of Ygiven X. References Shao, X., and … charles l waechterWebJun 23, 2024 · In this paper, we propose a new independence measure, named conditional martingale difference divergence (CMDH), that can be treated as either a conditional or a marginal independence measure. charles lutwidge dodgson biografia resumenWebFeb 9, 2024 · Shao and Lee, 2016 Shao X.F., Lee C.E., Martingale difference divergence matrix and its application to dimension reduction for stationary multivariate time series, Journal of the American Statistical Association 113 (2016) 216 – 229. Google Scholar; Shepard, 1962 Shepard R. charles l webbWebIn probability theory, a martingale difference sequence (MDS) is related to the concept of the martingale. A stochastic series X is an MDS if its expectation with respect to the past is zero. Formally, consider an adapted sequence { X t , F t } − ∞ ∞ {\displaystyle … charles l webster and company locationWebJun 5, 2024 · These new tests are formed based on recently developed martingale difference divergence matrix (MDDM), and they provide formal tools to test the multivariate martingale difference hypothesis... harry potter\u0027s tieWebMartingale Difference Divergence Matrix Description mddm extends martingale difference divergence from a scalar to a matrix. It encodes the linear combinations of all … charles l wentworthWebMartingale CLT Theorem (Martingale CLT I) Follow the notations above. Suppose 2 is an a.s. nite r.v., and max i jX nij!p 0; X i X2 ni!p 2; E max i X2 ni <1; F ni F n+1;i: … charles l wyrick jr