Calibrating dependence between random elements
Probability
2019-03-13 v1 Statistics Theory
Statistics Theory
Abstract
Attempts to quantify dependence between random elements X and Y via maximal correlation go back to Gebelein (1941) and R\'{e}nyi (1959). After summarizing properties (including some new) of the R\'{e}nyi measure of dependence, a calibrated scale of dependence is introduced. It is based on the ``complexity`` of approximating functions of X by functions of Y.
Keywords
Cite
@article{arxiv.1903.04663,
title = {Calibrating dependence between random elements},
author = {Abram M. Kagan and Gabor J. Székely},
journal= {arXiv preprint arXiv:1903.04663},
year = {2019}
}