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تسجيل مستخدم جديدOn the power of Chatterjee rank correlation
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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 first proposed by Dette et al. (2013) 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 Chatterjees new correlation coefficient to three established rank correlations that also facilitate consistent tests of independence, namely, Hoeffdings $D$, Blum-Kiefer-Rosenblatts $R$, and Bergsma-Dassios-Yanagimotos $tau^*$. We contrast their computational efficiency in light of recent advances, and investigate their power against local rotation and mixture alternatives. Our main results show that Chatterjees coefficient is unfortunately rate sub-optimal compared to $D$, $R$, and $tau^*$. The situation is more subtle for a related earlier estimator of Dette et al. (2013). These results favor $D$, $R$, and $tau^*$ over Chatterjees new correlation coefficient for the purpose of testing independence.
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Chatterjee (2021)s ingenious approach to estimating a measure of dependence first proposed by Dette et al. (2013) based on simple rank statistics has quickly caught attention. This measure of dependence has the unusual property of being between 0 and
1, and being 0 or 1 if and only if the corresponding pair of random variables is independent or one is a measurable function of the other almost surely. However, more recent studies (Cao and Bickel, 2020; Shi et al., 2021b) showed that independence tests based on Chatterjees rank correlation are unfortunately rate-inefficient against various local alternatives and they call for variants. We answer this call by proposing revised Chatterjees rank correlations that still consistently estimate the same dependence measure but provably achieve near-parametric efficiency in testing against Gaussian rotation alternatives. This is possible via incorporating many right nearest neighbors in constructing the correlation coefficients. We thus overcome the only one disadvantage of Chatterjees rank correlation (Chatterjee, 2021, Section 7).
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We provide sufficient conditions for the asymptotic normality of the generalized correlation coefficient $sum a_{ij}b_{ij}$ under the permutation null distribution when $a_{ij}$s are symmetric and $b_{ij}$s are symmetric.
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