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Exact first moments of the RV coefficient by invariant orthogonal integration

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  • Bavaud, François

Abstract

The RV coefficient measures the similarity between two multivariate configurations, and its significance testing has attracted various proposals in the last decades. We present a new approach, the invariant orthogonal integration, permitting to obtain the exact first four moments of the RV coefficient under the null hypothesis.

Suggested Citation

  • Bavaud, François, 2023. "Exact first moments of the RV coefficient by invariant orthogonal integration," Journal of Multivariate Analysis, Elsevier, vol. 198(C).
    • Handle: RePEc:eee:jmvana:v:198:y:2023:i:c:s0047259x23000738
    DOI: 10.1016/j.jmva.2023.105227
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    References listed on IDEAS

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    1. Sho Matsumoto, 2012. "General Moments of the Inverse Real Wishart Distribution and Orthogonal Weingarten Functions," Journal of Theoretical Probability, Springer, vol. 25(3), pages 798-822, September.
    2. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2019. "Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR," Annals of Operations Research, Springer, vol. 281(1), pages 423-453, October.
    3. Kazi-Aoual, Frederique & Hitier, Simon & Sabatier, Robert & Lebreton, Jean-Dominique, 1995. "Refined approximations to permutation tests for multivariate inference," Computational Statistics & Data Analysis, Elsevier, vol. 20(6), pages 643-656, December.
    4. François Bavaud, 2011. "On the Schoenberg Transformations in Data Analysis: Theory and Illustrations," Journal of Classification, Springer;The Classification Society, vol. 28(3), pages 297-314, October.
    5. François Bavaud, 2013. "Testing spatial autocorrelation in weighted networks: the modes permutation test," Journal of Geographical Systems, Springer, vol. 15(3), pages 233-247, July.
    6. P. Robert & Y. Escoufier, 1976. "A Unifying Tool for Linear Multivariate Statistical Methods: The RV‐Coefficient," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(3), pages 257-265, November.
    7. Josse, J. & Pagès, J. & Husson, F., 2008. "Testing the significance of the RV coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 82-91, September.
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