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On the asymptotic distribution of the symmetrized Chatterjee's correlation coefficient

05/03/2022

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by Qingyang Zhang, et al.

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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.

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