Calibrating dependence between random elements

03/11/2019

∙

by   Abram M. Kagan, et al.

∙

0

∙

share

Attempts to quantify dependence between random elements X and Y via maximal correlation go back to Gebelein (1941) and Rényi (1959). After summarizing properties (including some new) of the Rényi measure of dependence, a calibrated scale of dependence is introduced. It is based on the "complexity" of approximating functions of X by functions of Y.