Unbiased multivariate correlation analysis

Abstract

Copyright © 2017, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved. Correlation measures are a key element of statistics and machine learning, and essential for a wide range of data analysis tasks. Most existing correlation measures are for pairwise relationships, but real-world data can also exhibit complex multivariate correlations, involving three or more variables. We argue that multivariate correlation measures should be comparable, interpretable, scalable and unbiased. However, no existing measures satisfy all these requirements. In this paper, we propose an unbiased multivariate correlation measure, called UMC, which satisfies all the abov..