Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures
文章回顾了全局和局部依赖度量，重点介绍局部高斯相关性，通过用双变量高斯近似给定密度来定义局部相关性，并对其偏差进行了模拟研究。
This article consists of two parts. The first one contains a brief review of global and local dependence measures, including the local Gaussian correlation. For this, the local correlation at a point x is obtained by approximating the given bivariate density f at x by a bivariate Gaussian and then taking the correlation of that bivariate Gaussian as the definition of local Gaussian correlation. The second part consists in a bias study of the local Gaussian correlation. A small simulation experiment is performed. In the Appendix, the possibility of a neighbourhood‐free definition of local Gaussian correlation is explored.