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“No assumptions are needed on the distributions of the variables.”

Sourav Chatterjeearxiv.org ↗

Pearson’s correlation only sees straight lines. Two variables can depend on each other completely and still score zero. Chatterjee’s coefficient is zero only when they’re independent and one when one is a function of the other. It’s as easy to compute as the old ones. Statistics students got taught the wrong default for a century.