Nonsymmetric Dependence Measures: the Discrete Case

Hui Li

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arXiv · 1512.07945

Nonsymmetric Dependence Measures: the Discrete Case

Hui Li

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Abstract

Following our previous work on copula-based nonsymmetric dependence measures, we introduce similar measures for discrete random variables. The measures cover the range between two extremes: independence and complete dependence, which take minimum value exactly on independence and take maximum value exactly on complete dependence. We find that the * product on copulas in the continuous case reduces to matrix product of transition matrices in the discrete case and we use it to prove the DPI condition. The measures can also be extended to detect dependence between groups of discrete random variables or conditional dependence. Unlike the continuous case, one drawback is that the value of the measures depends on marginal distributions.

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Hui Li. 2015-12-25. Nonsymmetric Dependence Measures: the Discrete Case. https://arxiv.org/abs/1512.07945

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