April 07, 2011

Irrelevant Along Many Dimensions (Next Week at the Statistics Seminar)

Attention conservation notice: Of no use unless you care about mathematical statistics, and will be in Pittsburgh on Monday.

As I have had a number of occasions to tell the kids this semester, and will certainly repeat later, one of the most valuable things a data analyst can know is that some variables have nothing to do with each other. (Visions of the totality of interconnections making up the Cosmic All are for higher beings, like the Arisians, Marxist literary critics, and the Medium Lobster, not mere empiricists.) This is not at all easy when confronting high-dimensional data, and so I am especially pleased by the topic of next week's seminar.

Gabor Székely, National Science Foundation, "Testing Independence for High Dimensional Data with Application to Time Series"
Abstract: Brownian distance correlation was introduced about six years ago by G.J. Szekely. This correlation characterizes independence and determines a consistent test of multivariate independence for random vectors in arbitrary dimension. In this talk a modified Brownian distance correlation is proposed and applied to the problem of testing independence of random vectors in high dimension. The distribution of a simple transformation of the test statistic converges to Student t as dimension tends to infinity for any fixed sample size. Thus we obtain a distance correlation t test for independence of random vectors in arbitrarily high dimension, applicable under very general conditions. One of the important applications is testing independence of two time series.
Place and time: Scaife Hall 125, 4--5 pm on Monday, 11 April 2011

As always, the talk is free and open to the public.

Those of you wishing to follow along at home may find it enlightening to read "Brownian distance covariance" (arxiv:1010.0297) by Székely and Rizzo, along with the commentaries linked there — all published, I can't resist pointing out, in the Annals of Applied Statistics.

Update, 8 April: Due to the looming uncertainty about whether we will have a functioning National Science Foundation, the talk has been canceled. So, this is another Bad Thing which I blame on the wingnuts' apocalyptic fear of poor women having contraceptives. (I do not of course speak for the statistics department, for CMU, or for Dr. Székely.)

Enigmas of Chance

Posted at April 07, 2011 20:30 | permanent link

Three-Toed Sloth