Title: General Correlation Coefficient Between Variables Based on Mutual Information
Abstract:The correlation between variables is of importance in the analysis of nonlinear dynamic system. However traditional approaches are usually centered on the analysis of autocorrelation coefficient and m...The correlation between variables is of importance in the analysis of nonlinear dynamic system. However traditional approaches are usually centered on the analysis of autocorrelation coefficient and mutual correlation coefficient or other indexes that only reflect the linear correlation between variables. Obviously it is not sufficient for the real system that often has nonlinear correlation structure. Mutual information is used in such analysis. A general correlation coefficient is proposed and three different algorithms: equidistance algorithm, equal probability algorithm and successively equal probability algorithm, are discussed. The equal probability algorithm, which has no relationship with the studied population distribution, is the best and simplest. A quantile table of general correlation coefficient based on the equal probability algorithm is provided for statistic test purpose.Read More
Publication Year: 2002
Publication Date: 2002-01-01
Language: en
Type: article
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Cited By Count: 16
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