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arXiv · 1903.04663

Calibrating dependence between random elements

Abram M. Kagan·Gabor J. Székely
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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.

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Abram M. Kagan, Gabor J. Székely. 2019-03-11. Calibrating dependence between random elements. https://arxiv.org/abs/1903.04663

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