The Randomized Dependence Coefficient

@inproceedings{LopezPaz2013TheRD,
  title={The Randomized Dependence Coefficient},
  author={David Lopez-Paz and Philipp Hennig and Bernhard Sch{\"o}lkopf},
  booktitle={NIPS},
  year={2013}
}
We introduce the Randomized Dependence Coefficient (RDC), a measure of nonlinear dependence between random variables of arbitrary dimension based on the Hirschfeld-Gebelein-Rényi Maximum Correlation Coefficient. RDC is defined in terms of correlation of random non-linear copula projections; it is invariant with respect to marginal distribution transformations, has low computational cost and is easy to implement: just five lines of R code, included at the end of the paper. 
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