This paper first illustrates that a mutual information index detects and ranks dependence of a wide variety of absolutely continuous families, but the popular association and variance reduction indices fail to serve as such “common metrics”. We then elaborate on some theoretical merits of...

In this paper, a copula-based correlation measure is proposed to test the interdependence among stochastic variables in terms of copula function. Based on a geometric analysis of copula function, a new derivation method is introduced to derive the Gini correlation coefficient. Meantime...