B1693
Title: A high dimensional dissimilarity measure
Authors: Reza Modarres - George Washington University (United States) [presenting]
Abstract: A new dissimilarity measure for high-dimensional, low-sample size settings is proposed to compare high-dimensional probability distributions. The asymptotic behavior of the new dissimilarity index is studied theoretically. Numerical experiments from high dimensional distributions exhibit the usefulness of the method. The eigenvalues of the matrix of dissimilarities for comparing two high-dimensional samples are determined and shown to be related to the asymptotic value of the dissimilarity index. A dissimilarity visualization plot that is useful for the detection of outliers and change points is proposed and utilized to find the change points in S\&P500 stock return data.
