Chaterjee's xi correlation

An implementation of Chaterjee's xi correlation for MATLAB

Chaterjee's xi correlation for MATLAB

What is Chaterjee's xi correlation:

• Measure of the dependency between 2 variables.
• Able to capture non-linear dependencies. Pearson/Spearman only work for linear trends (see below).
• Tool for inference (if offers p-values or confidence intervals).

How to use it:

x = linspace(0, 20, 1000);
y = cos(x) + 0.3*randn(1, 1000);

xi = xicor(x, y);

Post any bugs/ideas/comments as issues!

The difference between Pearson's (<math-renderer class="js-inline-math" style="display: inline" data-static-url="https://github.githubassets.com/static" data-run-id="010f0b0792e378dfc679a795343fbae9">$r$</math-renderer>) and xi-correlation (<math-renderer class="js-inline-math" style="display: inline" data-static-url="https://github.githubassets.com/static" data-run-id="010f0b0792e378dfc679a795343fbae9">$\xi$</math-renderer>):

References:

1. Sourav Chatterjee, A New Coefficient of Correlation, Journal of the American Statistical Association, 116:536, 2009-2022, 2021. DOI:10.1080/01621459.2020.1758115
2. XICOR R package: https://cran.r-project.org/web/packages/XICOR/index.html