检验连续随机变量对的独立性:一个简单的启发式方法

Mahfuza Khatun , Sikandar Siddiqui
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引用次数: 0

摘要

检测和检查连续变量之间的两两依赖模式是商业和经济统计领域的中心任务之一。为了进行这种分析,从业者经常求助于皮尔逊(1895)的积矩相关系数和相关的显著性检验。然而,孤立地使用这种检验有可能遗漏变量之间的非线性和特别是非单调关联。这个问题也适用于高阶矩之间的依赖,例如,方差,而不是均值。我们提出了一个简单的、计算成本不高的启发式方法,通过它可以解决这个问题,并在少量示例案例中展示了它的有用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Testing pairs of continuous random variables for independence: A simple heuristic

Detection and examination of pairwise dependence patterns between continuous variables is among the central tasks in the fields of business and economic statistics. To perform this analysis, practitioners frequently resort to Pearson’s (1895) product–moment correlation coefficient and the related significance tests. However, the use of such tests in isolation involves the risk of missing the nonlinear and particularly non-monotonic associations between the variables. This problem is also relevant in the cases where the dependence prevails between higher-order moments, e.g., variances, rather than means. We present a simple, computationally inexpensive heuristic by which this problem can be addressed and demonstrate its usefulness in a small number of example cases.

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