Chaterjee's xi correlation
Chaterjee's xi correlation for MATLAB
What is Chaterjee's xi correlation:
- Measure of the dependency between 2 variables.
- Able to capture non-linear dependencies. Pearson/Spearman only work for linear trends (see below).
- Tool for inference (if offers p-values or confidence intervals).
How to use it:
x = linspace(0, 20, 1000);
y = cos(x) + 0.3*randn(1, 1000);
xi = xicor(x, y);
Post any bugs/ideas/comments as issues!
The difference between Pearson's (<math-renderer class="js-inline-math" style="display: inline" data-static-url="https://github.githubassets.com/static" data-run-id="010f0b0792e378dfc679a795343fbae9">$r$</math-renderer>) and xi-correlation (<math-renderer class="js-inline-math" style="display: inline" data-static-url="https://github.githubassets.com/static" data-run-id="010f0b0792e378dfc679a795343fbae9">$\xi$</math-renderer>):
References:
- Sourav Chatterjee, A New Coefficient of Correlation, Journal of the American Statistical Association, 116:536, 2009-2022, 2021. DOI:10.1080/01621459.2020.1758115
- XICOR R package: https://cran.r-project.org/web/packages/XICOR/index.html
Cite As
David Romero (2024). Chaterjee's xi correlation (https://github.com/drombas/xicor-mat/releases/tag/v1.0.1), GitHub. Retrieved .
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Version | Published | Release Notes | |
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1.0.1 | See release notes for this release on GitHub: https://github.com/drombas/xicor-mat/releases/tag/v1.0.1 |
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1.0.0 |