Motivated by GDC, we propose the generalized martingale difference divergence (GMDD) to detect conditional mean independence of two random vectors in this paper ...
Martingale difference divergence measures the departure of conditional ... test independence of two vectors, while MDD is to test conditional mean independence.
People also ask
What is the generalized martingale difference divergence?
Apr 1, 2023 · Martingale difference divergence measures the departure of conditional mean independence of two random vectors. Generalized martingale ...
Martingale difference divergence measures the departure of conditional mean independence of two random vectors. Generalized martingale difference divergence ...
Sep 15, 2022 · Martingale difference divergence measures the departure of conditional mean independence of two random vectors. Generalized martingale ...
divergence to capture the conditional mean dependence. (in any form) of Y ∈ Rq given X ∈ Rp. The non-negative martingale difference divergence for X and Y ...
Nov 9, 2023 · Abstract. This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function ...
Testing for Conditional Mean Independence with Covariates ...
www.researchgate.net › ... › Covariance
We apply the martingale difference divergence (Shao and Zhang, 2014) to measure conditional mean dependence, and show that the estimation error from ...
Generalized martingale difference divergence: Detecting conditional mean independence with applications in variable screening ... conditional mean independence ...
Motivated by the distance covariance (Székely et al., 2007), they proposed the so-called martingale difference divergence (MDD) to measure the conditional mean ...