Symmetric rank covariances: a generalized framework for nonparametric measures of dependence
Symmetric rank covariances: a generalized framework for nonparametric measures of dependence
The need to test whether two random vectors are independent has spawned many competing measures of dependence. We focus on nonparametric measures that are invariant under strictly increasing transformations, such as Kendall's tau, Hoeffding's |$D$|ā , and the BergsmaāDassios sign covariance. Each exhibits symmetries that are not readily apparent from their ā¦