Search Results - subject:"Brownian distance"

Systemic risk and causality dynamics of the world international shipping market

Zhang, Xin; Podobnik, Boris; Kenett, Dror Y.; Eugene … - In: Physica A: Statistical Mechanics and its Applications 415 (2014) C, pp. 43-53

dynamics, i.e., different market sectors tend to be more closely linked during financial crisis. Brownian distance correlation … Brownian distance correlation captures more dependent relationships, which are not observed in the Granger causality test …

Persistent link: https://www.econbiz.de/10011060070

Direction estimation in single-index models via distance covariance

Sheng, Wenhui; Yin, Xiangrong - In: Journal of Multivariate Analysis 122 (2013) C, pp. 148-161

We introduce a new method for estimating the direction in single-index models via distance covariance. Our method keeps model-free advantage as a dimension reduction approach. In addition, no smoothing technique is needed, which enables our method to work efficiently when many predictors are...

Persistent link: https://www.econbiz.de/10010702797