Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond
刻画非对称性与非线性的广义相关度量
Applicability of Pearson's correlation as a measure of explained variance is by now well understood. One of its limitations is that it does not account for asymmetry in explained variance. Aiming to develop broad applicable correlation measures, we study a pair of generalized measures of correlation (GMC) that deals with asymmetries in explained variances, and linear or nonlinear relations between random variables. We present examples under which the paired measures are…