The Randomized Dependence Coefficient

Part of Advances in Neural Information Processing Systems 26 (NIPS 2013)

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Authors

David Lopez-Paz, Philipp Hennig, Bernhard Schölkopf

Abstract

<p>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.</p>