Brownian Covariance and DISCO Analysis

Event Details
  • Date/Time:
    • Friday October 30, 2009
      11:00 am - 12:00 pm
  • Location: Executive classroom
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    $0.00
  • Extras:
Contact
Yajun Mei
ISyE
Contact Yajun Mei
404-894-2300
Summaries

Summary Sentence: Brownian Covariance and DISCO Analysis

Full Summary: Brownian Covariance and DISCO Analysis

TITLE: Brownian Covariance and DISCO Analysis

SPEAKER: Dr. Gabor Szekely

ABSTRACT:

The notion of covariance with respect to a stochastic process is introduced. If the process is the identity function, we get the Pearson's covariance, if the process is the Brownian process then we get a new measure of dependence, the Brownian covariance. This is zero if the random variables are independent. The corresponding statistic has an elegantly simple computing formula. DISCO Analysis, that is Distance Components Analysis is a nonparametric extension of ANOVA for testing the multi-sample hypothesis of equal distributions. Many applications will appear in our forthcoming Ann. Appl. Statist. discussion paper.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Categories
Seminar/Lecture/Colloquium
Keywords
covariance, DISCO
Status
  • Created By: Anita Race
  • Workflow Status: Draft
  • Created On: Feb 16, 2010 - 9:48am
  • Last Updated: Oct 7, 2016 - 9:50pm