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

Qingyang Zhang

Statistics & Probability Letters, 2023, vol. 194, issue C

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.

Keywords: Chatterjee’s correlation; Asymptotic normality; Asymptotic independence; Finite sample test (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2022.109759

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