Title: The Hellinger correlation
Authors: Gery Geenens - University of New South Wales (Australia) [presenting]
Abstract: The defining properties of any valid measure of the dependence between two continuous random variables are revisited and complemented with two original ones, shown to imply other usual postulates. While other popular choices are proved to violate some of these requirements, a class of dependence measures satisfying all of them is identified. One particular measure, that we call Hellinger correlation, appears as a natural choice within that class due to both its theoretical and intuitive appeal. A simple and efficient nonparametric estimator for that quantity is proposed.