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| Main Authors: | , |
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| Format: | Preprint |
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2024
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| Online Access: | https://arxiv.org/abs/2403.17670 |
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| _version_ | 1866909151035129856 |
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| author | Gao, Muhong Li, Qizhai |
| author_facet | Gao, Muhong Li, Qizhai |
| contents | Quantifying the strength of functional dependence between random scalars $X$ and $Y$ is an important statistical problem. While many existing correlation coefficients excel in identifying linear or monotone functional dependence, they fall short in capturing general non-monotone functional relationships. In response, we propose a family of correlation coefficients $ξ^{(h,F)}_n$, characterized by a continuous bivariate function $h$ and a cdf function $F$. By offering a range of selections for $h$ and $F$, $ξ^{(h,F)}_n$ encompasses a diverse class of novel correlation coefficients, while also incorporates the Chatterjee's correlation coefficient (Chatterjee, 2021) as a special case. We prove that $ξ^{(h,F)}_n$ converges almost surely to a deterministic limit $ξ^{(h,F)}$ as sample size $n$ approaches infinity. In addition, under appropriate conditions imposed on $h$ and $F$, the limit $ξ^{(h,F)}$ satisfies the three appealing properties: (P1). it belongs to the range of $[0,1]$; (P2). it equals 1 if and only if $Y$ is a measurable function of $X$; and (P3). it equals 0 if and only if $Y$ is independent of $X$. As amplified by our numerical experiments, our proposals provide practitioners with a variety of options to choose the most suitable correlation coefficient tailored to their specific practical needs. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_17670 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A family of Chatterjee's correlation coefficients and their properties Gao, Muhong Li, Qizhai Methodology 62H20, 62G05 Quantifying the strength of functional dependence between random scalars $X$ and $Y$ is an important statistical problem. While many existing correlation coefficients excel in identifying linear or monotone functional dependence, they fall short in capturing general non-monotone functional relationships. In response, we propose a family of correlation coefficients $ξ^{(h,F)}_n$, characterized by a continuous bivariate function $h$ and a cdf function $F$. By offering a range of selections for $h$ and $F$, $ξ^{(h,F)}_n$ encompasses a diverse class of novel correlation coefficients, while also incorporates the Chatterjee's correlation coefficient (Chatterjee, 2021) as a special case. We prove that $ξ^{(h,F)}_n$ converges almost surely to a deterministic limit $ξ^{(h,F)}$ as sample size $n$ approaches infinity. In addition, under appropriate conditions imposed on $h$ and $F$, the limit $ξ^{(h,F)}$ satisfies the three appealing properties: (P1). it belongs to the range of $[0,1]$; (P2). it equals 1 if and only if $Y$ is a measurable function of $X$; and (P3). it equals 0 if and only if $Y$ is independent of $X$. As amplified by our numerical experiments, our proposals provide practitioners with a variety of options to choose the most suitable correlation coefficient tailored to their specific practical needs. |
| title | A family of Chatterjee's correlation coefficients and their properties |
| topic | Methodology 62H20, 62G05 |
| url | https://arxiv.org/abs/2403.17670 |