On the asymptotic distribution of the symmetrized Chatterjee's correlation coefficient

2022/05/03 by Zhang, Qingyang
#62E20 #FOS: Computer and information sciences #Methodology (stat.ME)

paper · doi:10.48550/arxiv.2205.01769

Abstract

Chatterjee (2021) introduced an asymmetric correlation measure that has attracted much attention over the past year. In this paper, we derive the asymptotic distribution of the symmetric version of Chatterjee's correlation, and suggest a finite sample test for independence.

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