Applications of Chatterjee correlation coefficient
Sojin Ahn, Dae‐Heung Jang · Korean Journal of Applied Statistics · 2023
Chatterjee (2021) proposed a new correlation coefficient ξ as an alternative to overcome the disadvantages of the existing Pearson's correlation coefficient.Since this correlation coefficient is rank-based, it is robust to outliers, and the simple formula makes the concept easy to understand and the measure calculation speed is very fast.Through this paper, the application of this correlation coefficient was examined in two aspects (1.Bivariate distribution, 2. High-dimensional data).