Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening
鞅差相关及其在高维变量筛选中的应用
In this article, we propose a new metric, the so-called martingale difference correlation, to measure the departure of conditional mean independence between a scalar response variable V and a vector predictor variable U. Our metric is a natural extension of distance correlation proposed by Székely, Rizzo, and Bahirov, which is used to measure the dependence between V and U. The martingale difference correlation and its empirical counterpart inherit a number of desirable…