Munich Personal RePEc Archive

A true measure of dependence

Li, Hui (2016): A true measure of dependence.

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The strength of dependence between random variables is an important property that is useful in a lot of areas. Various measures have been proposed which detect mostly divergence from independence. However, a true measure of dependence should also be able to characterize complete dependence where one variable is a function of the other. Previous measures are mostly symmetric which are shown to be insufficient to capture complete dependence. A new type of nonsymmetric dependence measure is presented that can unambiguously identify both independence and complete dependence. The original Rényi’s axioms for symmetric measures are reviewed and modified for nonsymmetric measures.

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