Limit theorems of Chatterjee's rank correlation
From MaRDI portal
Publication:6396709
arXiv2204.08031MaRDI QIDQ6396709FDOQ6396709
Authors: Fang Han 
Publication date: 17 April 2022
Abstract: Establishing the limiting distribution of Chatterjee's rank correlation for a general, possibly non-independent, pair of random variables has been eagerly awaited to many. This paper shows that (a) Chatterjee's rank correlation is asymptotically normal as long as one variable is not a measurable function of the other, (b) the corresponding asymptotic variance is uniformly bounded by 36, and (c) a consistent variance estimator exists. Similar results also hold for Azadkia-Chatterjee's graph-based correlation coefficient, a multivariate analogue of Chatterjee's original proposal. The proof is given by appealing to H'ajek representation and Chatterjee's nearest-neighbor CLT.
Has companion code repository: https://github.com/zhexiaolin/limit-theorems-of-chatterjee-s-rank-correlation
This page was built for publication: Limit theorems of Chatterjee's rank correlation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6396709)
