Preprintgreen2013

The Randomized Dependence Coefficient

David López-Paz · Philipp Hennig · Bernhard Schölkopf

116 citations0/0 files storedarXiv (Cornell University)

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Financial Risk and Volatility Modeling Statistical Methods and Applications Multidisciplinary Science and Engineering Research

Abstract

We introduce the Randomized Dependence Coefficient (RDC), a measure of non-linear dependence between random variables of arbitrary dimension based on the Hirschfeld-Gebelein-Rényi 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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1999An Introduction to Copulas 1999Interpolation of Spatial Data 2006An Introduction to Copulas (Springer Series in Statistics)

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