Calibrating dependence between random elements
Attempts to quantify dependence between random elements X and Y via maximal correlation go back to Gebelein (1941) and Rényi (1959). After summarizing properties (including some new) of the Rényi 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.
math.PR↗