Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening

Citations

Cited by:

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   • Jozef Barun'ik & Tobias Kley, 2015. "Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables," Papers 1510.06946, arXiv.org, revised Dec 2018.
8. Emmanuel Selorm Tsyawo & Abdul-Nasah Soale, 2021. "A Distance Covariance-based Estimator," Papers 2102.07008, arXiv.org, revised Sep 2024.
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10. Carlos Velasco & Xuexin Wang, 2021. "Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption," Working Papers 2024-09-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
11. Xu, Kai & Zhou, Yeqing, 2021. "Projection-averaging-based cumulative covariance and its use in goodness-of-fit testing for single-index models," Computational Statistics & Data Analysis, Elsevier, vol. 164(C).
12. Xi Wu & Shifeng Xiong & Weiyan Mu, 2023. "An Ensemble Method for Feature Screening," Mathematics, MDPI, vol. 11(2), pages 1-14, January.
13. Xiaolin Chen & Xiaojing Chen & Yi Liu, 2019. "A note on quantile feature screening via distance correlation," Statistical Papers, Springer, vol. 60(5), pages 1741-1762, October.
14. Emmanuel Jordy Menvouta & Sven Serneels & Tim Verdonck, 2022. "Sparse dimension reduction based on energy and ball statistics," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 16(4), pages 951-975, December.
15. Jin, Ze & Matteson, David S., 2018. "Generalizing distance covariance to measure and test multivariate mutual dependence via complete and incomplete V-statistics," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 304-322.
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18. Chen, Xiaolin & Chen, Xiaojing & Wang, Hong, 2018. "Robust feature screening for ultra-high dimensional right censored data via distance correlation," Computational Statistics & Data Analysis, Elsevier, vol. 119(C), pages 118-138.
19. Shang, Du & Shang, Pengjian, 2022. "The dependence measurements based on martingale difference correlation and distance correlation: Efficient tools to distinguish different complex systems," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
20. Ke, Chenlu & Yang, Wei & Yuan, Qingcong & Li, Lu, 2023. "Partial sufficient variable screening with categorical controls," Computational Statistics & Data Analysis, Elsevier, vol. 187(C).
21. Luca Mattia Rolla & Alessandro Giovannelli, 2022. "The Forecasting performance of the Factor model with Martingale Difference errors," Papers 2205.10256, arXiv.org, revised Jun 2023.
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23. Hyokyoung G. Hong & Xuerong Chen & David C. Christiani & Yi Li, 2018. "Integrated powered density: Screening ultrahigh dimensional covariates with survival outcomes," Biometrics, The International Biometric Society, vol. 74(2), pages 421-429, June.
24. Craig, Sarah J.C. & Kenney, Ana M. & Lin, Junli & Paul, Ian M. & Birch, Leann L. & Savage, Jennifer S. & Marini, Michele E. & Chiaromonte, Francesca & Reimherr, Matthew L. & Makova, Kateryna D., 2023. "Constructing a polygenic risk score for childhood obesity using functional data analysis," Econometrics and Statistics, Elsevier, vol. 25(C), pages 66-86.
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29. Su, Liangjun & Zheng, Xin, 2017. "A martingale-difference-divergence-based test for specification," Economics Letters, Elsevier, vol. 156(C), pages 162-167.