“On Extensions of Rank Correlation Coefficients to Multivariate Spaces”, 2021-10-07 (; backlinks; similar):
This note summarizes ideas presented in a lecture for the Bernoulli New Researcher Award 2021.
Rank correlations for measuring and testing against dependence of 2 random scalars are among the oldest and best-known topics in nonparametric statistics.
This note reviews recent progress towards understanding and extending rank correlations to multivariate spaces through building connections to optimal transport and graph-based statistics.