Distance Metrics for Measuring Joint Dependence with Application to Causal Inference
Distance Metrics for Measuring Joint Dependence with Application to Causal Inference
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 …