Dependence Measuring from Conditional Variances

Abstract

AbstractA conditional variance is an indicator of the level of independence between two random variables. We exploit this intuitive relationship and define a measure v which is almost a measure of mutual complete dependence. Unsurprisingly, the measure attains its minimum value for many pairs of non-independent ran- dom variables. Adjusting the measure so as to make it invariant under all Borel measurable injective trans- formations, we obtain a copula-based measure of dependence v* satisfying A. Rényi’s postulates. Finally, we observe that every nontrivial convex combination of v and v* is a measure of mutual complete dependence.