Distance Metrics for Measuring Joint Dependence with Application to Causal Inference
衡量联合依赖的距离度量及其在因果推断中的应用
Many statistical applications require the quantification of joint dependence among more than two random vectors. In this work, we generalize the notion of distance covariance to quantify joint dependence among d≥2 random vectors. We introduce the high-order distance covariance to measure the so-called Lancaster interaction dependence. The joint distance covariance is then defined as a linear combination of pairwise distance covariances and their higher-order counterparts…