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The Randomized Dependence Coefficient

2020-01-16 | |  79 |   48 |   0

Abstract

We introduce the Randomized Dependence Coefficient (RDC), a measure of nonlinear dependence between random variables of arbitrary dimension based on the Hirschfeld-Gebelein-Renyi Maximum Correlation Coefficient. RDC is defined in terms of correlation of random non-linear copula projections; it is invariant with respect to marginal distribution transformations, has low computational cost and is easy to implement: just five lines of R code, included at the end of the paper.

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