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On the power of Chatterjee rank correlation

26 August 2020
Hongjian Shi
Mathias Drton
Fang Han
ArXiv (abs)PDFHTML
Abstract

Chatterjee (2021) introduced a simple new rank correlation coefficient that has attracted much recent attention. The coefficient has the unusual appeal that it not only estimates a population quantity that is zero if and only if the underlying pair of random variables is independent, but also is asymptotically normal under independence. This paper compares Chatterjee's new correlation coefficient to three established rank correlations that also facilitate consistent tests of independence, namely, Hoeffding's DDD, Blum--Kiefer--Rosenblatt's RRR, and Bergsma--Dassios--Yanagimoto's τ∗\tau^*τ∗. We contrast their computational efficiency in light of recent advances, and investigate their power against local \nb{rotation and mixture} alternatives. Our main results show that Chatterjee's coefficient is unfortunately rate sub-optimal compared to DDD, RRR, and τ∗\tau^*τ∗. These results favor DDD, RRR, and τ∗\tau^*τ∗ over Chatterjee's new correlation coefficient for the purpose of testing independence.

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