### 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