[Statlist] Research Seminar in Statistics *FRIDAY, 5 NOVEMBER 2021* GSEM, University of Geneva

[gsem-support-instituts]

Due to new measures decided by the Federal Council, all public events organized by the UNIGE are subject to the compulsory presentation of the COVID certificate


Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you


Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser


FRIDAY, 5 NOVEMBER 2021 at 11:15am, Uni-Mail M 5220 & ONLINE

Zoom research webinar: https://unige.zoom.us/j/92924332087?pwd=U1U1NFk4dTFCRHBMeWYrSDBQcXBiQT09
Meeting ID: 929 2433 2087
Passcode: 399192


Measuring Dependence between Random Vectors via Optimal Transport
(Joint with Gilles Mordant, University of Göttingen)
Johan SEGERS - https://perso.uclouvain.be/johan.segers/ - Université catholique de Louvain, Belgium

ABSTRACT:
To quantify the dependence between two random vectors of possibly different dimensions, we propose two coefficients. Both of them are based on the Wasserstein distance between the actual distribution and a reference distribution with independent components. The coefficients are normalized to take values between 0 and 1, where 1 represents the maximal amount of dependence possible given the two multivariate margins.

For Gaussian distributions, the two coefficients admit attractive formulas in terms of the joint correlation matrix. Maximal dependence occurs at the Gaussian distribution having minimal differential entropy given the two multivariate margins. The two coefficients can be estimated easily via the empirical correlation matrix. The estimators are asymptotically normal and their asymptotic variances are functions of the correlation matrix, which can thus be estimated consistently too. The results extend to the Gaussian copula case, in which case the estimators are rank-based. The results are illustrated through theoretical examples, Monte Carlo simulations, and a case study involving EEG data.


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/