Hot answers tagged dependence
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The answer of user27915816 led me into the right direction, yet I think I found an even better generalization:
Distance Correlation (dCor)
There are several reasons for that:
It generalizes classical (i.e. linear) correlation in the sense that linearity is a special case. It gives identical readings for linear dependence.
There are analogs for variance, ...
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Mutual information measures how much knowing one variable reduces uncertainty about another variable. It considers any type of dependency (linear or non-linear), it's measured in bits, and it is widely used in machine learning, computer vision NLP and other fields.
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