A new class of rank-based, kernel and optimal-transport measures of multivariate association that are distribution-free under independence, exactly characterize independence and functional dependence, and have a uniform null CLT.
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Distribution-free Measures of Association based on Optimal Transport
A new class of rank-based, kernel and optimal-transport measures of multivariate association that are distribution-free under independence, exactly characterize independence and functional dependence, and have a uniform null CLT.