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On the asymptotic null distribution of the symmetrized Chatterjee’s correlation coefficient

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  • Zhang, Qingyang

Abstract

Chatterjee (2021) introduced an asymmetric correlation measure that has attracted much attention over the past year. In this paper, we derive the asymptotic distribution of the symmetric version of Chatterjee’s correlation, and suggest a finite sample test for independence.

Suggested Citation

  • Zhang, Qingyang, 2023. "On the asymptotic null distribution of the symmetrized Chatterjee’s correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 194(C).
    • Handle: RePEc:eee:stapro:v:194:y:2023:i:c:s0167715222002723
    DOI: 10.1016/j.spl.2022.109759
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    References listed on IDEAS

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    1. Niklas Pfister & Peter Bühlmann & Bernhard Schölkopf & Jonas Peters, 2018. "Kernel‐based tests for joint independence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(1), pages 5-31, January.
    2. H Shi & M Drton & F Han, 2022. "On the power of Chatterjee’s rank correlation [Adaptive test of independence based on HSIC measures]," Biometrika, Biometrika Trust, vol. 109(2), pages 317-333.
    3. Holger Dette & Karl F. Siburg & Pavel A. Stoimenov, 2013. "A Copula-Based Non-parametric Measure of Regression Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 21-41, March.
    4. Sourav Chatterjee, 2021. "A New Coefficient of Correlation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 2009-2022, October.
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    Cited by:

    1. Zhexiao Lin & Fang Han, 2023. "On the failure of the bootstrap for Chatterjee's rank correlation," Papers 2303.14088, arXiv.org, revised Apr 2023.

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