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The Randomized Dependence Coefficient
David Lopez-Paz · Philipp Hennig · Bernhard Schölkopf

Sat Dec 07 07:00 PM -- 11:59 PM (PST) @ Harrah's Special Events Center, 2nd Floor #None

We introduce the Randomized Dependence Coefficient (RDC), a measure of non-linear dependence between random variables of arbitrary dimension based on the Hirschfeld-Gebelein-Rényi Maximum Correlation Coefficient. RDC is defined in terms of correlation of random non-linear copula projections; it is invariant with respect to marginal distribution transformations, has low computational cost and is easy to implement: just five lines of R code, included at the end of the paper.

Author Information

David Lopez-Paz (Facebook AI Research)
Philipp Hennig (University of Tübingen and MPI Tübingen)
Bernhard Schölkopf (MPI for Intelligent Systems)

Bernhard Scholkopf received degrees in mathematics (London) and physics (Tubingen), and a doctorate in computer science from the Technical University Berlin. He has researched at AT&T Bell Labs, at GMD FIRST, Berlin, at the Australian National University, Canberra, and at Microsoft Research Cambridge (UK). In 2001, he was appointed scientific member of the Max Planck Society and director at the MPI for Biological Cybernetics; in 2010 he founded the Max Planck Institute for Intelligent Systems. For further information, see www.kyb.tuebingen.mpg.de/~bs.

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