most citedMeasuring and testing dependence by correlation of distances

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math.ST2008★ 2.3k cited

Measuring and testing dependence by correlation of distances

Gábor J. Székely, Maria L. Rizzo, Nail K. Bakirov

Distance correlation is a new measure of dependence between random vectors. Distance covariance and distance correlation are analogous to product-moment covariance and correlation,…