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There are some formula that calculate the linear correlation between two random variables, for example Pearson or Spearman Correlation. My question is that is there any formula that can calculate the non-linear correlation between two random variables ?

hrkad
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1 Answers1

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As is searched, i found out that the Mutual Information between two random variables can reveals the non-linear relation between them which is described here.

hrkad
  • 105
  • 8