Pearson |
Pearson's |
r |
Linear, widely-used, no parameter, coeff. ∈ [−1, 1] |
Pearson, 1895
|
Spearman |
Spearman's |
ρ |
Monotonic, rank-based, no parameter, coeff. ∈ [−1, 1] |
Spearman, 1904
|
Kendall |
Kendall's |
τ |
Monotonic, rank-based, no parameter, coeff. ∈ [−1, 1] |
Kendall, 1938
|
Hoeffding |
Hoeffding's |
D |
Non-linear, rank-based, no parameter, coeff. ∈ [0, 1] |
Hoeffding, 1948
|
Blomqvist |
Blomqvist's |
β |
Monotonic, rank-based, no parameter, coeff. ∈ [−1, 1] |
Blomqvist, 1950
|
Goodman |
Goodman and Kruskal's |
γ |
Monotonic, cross classifications, rank-based, no parameter, coeff. ∈ [−1, 1] |
Goodman and Kruskal, 1954
|
WWH |
Wang, Waterman, Huang's |
wwh |
Monotonic, rank-based, no parameter, coeff. ∈ [0, +∞] |
Wang et al., 2014
|
MI |
Mutual information |
I |
Non-linear, entropy-based, no parameter, coeff. ∈ [0, +∞] |
Shannon, 1948
|
MIC |
Maximum information correlation |
mic |
Non-linear, entropy-based, 1 parameter, coeff. ∈ [0, 1] |
Reshef et al., 2011
|
Wilks |
Wilks' |
W |
Linear, covariance-based, no parameter, coeff. ∈ [0, 1] |
Wilks, 1935
|
KCCA |
Kernel canonical correlation analysis |
kcca |
Non-linear, covariance-based, 1 parameter, coeff. ∈ [0, 1] |
Bach and Jordan, 2002
|
dCor |
Distance correlation |
dCor |
Non-linear, covariance-based, 1 parameter, coeff. ∈ [0, 1] |
Szekely and Rizzo, 2009
|
CMMD |
copula-based maximum mean discrepancy |
cmmd |
Non-linear, copulas-based, 1 parameter, coeff. ∈ [0, 1] |
Poczos et al., 2012
|
RDC |
Randomized dependence coefficient |
rdc |
Non-linear, copulas-based, 2 parameters, coeff. ∈ [0, 1] |
Lopez-Paz et al., 2013
|