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Statistics Seminar

A new coefficient of correlation

With Sourav Chatterjee (Stanford)

A new coefficient of correlation

Is it possible to define a coefficient of correlation which is (a) as simple as the classical coefficients like Pearson’s correlation or Spearman’s correlation, and yet (b) consistently estimates some simple and interpretable measure of the degree of dependence between the variables, which is 0 if and only if the variables are independent and 1 if and only if one is a measurable function of the other, and© has a simple asymptotic theory under the hypothesis of independence, like the classical coefficients? I will talk about a recent work (from 2 years ago) that answers this question in the affirmative, by producing such a coefficient. No assumptions are needed on the distributions of the variables. Subsequent developments and future directions will be briefly discussed.

A wine reception in the central core will follow this event

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