A Distributional Measure of Correlation

by Dror G. Feitelson.

Abstract: Common metrics of correlation are based on the degree to which the value of one random variable can be used to predict the value of another random variable. However, there are forms of correlation that do not lead to a high ability to predict actual values. We identify such a correlation, and suggest it can be measured by a certain monotonicity property among distributions of the dependent variable, for different ranges of the independent variable.

Key Words: correlation coefficient, data analysis, distribution prediction

Dror G. Feitelson, feit@cs.huji.ac.il

Editor: Richard G. Graf,rgraf@sunstroke.sdsu.edu

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