# Chatterjee’s “rank correlation”

Published

December 28, 2021

Sourav Chatterjee proposed a new correlation coefficient. Different from the classical correlation coefficient (e.g., Pearson’s) that can only capture linear relationship, the Chatterjee’s coefficient can indicate if Y is related to any function of X, whether it is linear or nonlinear. Suppose Y_i = X_i^2 for all i, then Y_i is determined by X_i. Pearson’s coefficient will yield very low coefficient since there was little to no linear correlation found. Meanwhile, Chatterjee’s coefficient will still have high value because it knows that Y_i depends on X_i by some function (in this case, quadratic).

This coefficient value is between 0 and 1. Meaning, the relationship is weak if the coefficient value gets closer to 0 and strong as it gets closer to 1. It is 0 iff X and Y are independent, and is 1 iff Y is a measurable function of X almost surely.

given pairs of i.i.d. random variables (X_i, Y_i) where i=1, ..., n. Chatterjee’s correlation is obtained through following procedure:

• Sort the pairs according to X as (X_{[i]}, Y_{[i]}) such that X_{[i]} \leq ... \leq X_{[n]}

• Calculate r_i, which is the rank for Y_{[i]}, for i=1, ..., n. The rank is basically the count of j such that Y_{[j]} \leq Y_{[i]}. Formally, r_i itself is obtained by

r_i = \sum_{j=1}^n \mathbb{1}\left(Y_{[j]} \leq Y_{[i]}\right)

where \mathbb{1}\left(Y_{[j]} \leq Y_{[i]}\right) is an indicator function that evaluates to 1 if the expression in the parenthesis is true, and zero otherwise.

• And finally calculate the coefficient itself:

\xi_n(X, Y) = 1-\frac{3 \sum_{i=1}^{n-1} \lvert r_{i+1} - r_i \rvert}{n^2 - 1}

It can be implemented as a python function in few lines of code:

import numpy as np

def chatterjee(x, y):
# sort x and get the sorted index
idx = np.argsort(x.ravel())

# rearrange y based on idx
y_ = y.ravel()[idx]

# calculate a list of ranks
r = (y_[:, None] <= y_).sum(1)

# the coefficient calculation
xi = 1 - (3 * np.sum(np.abs(r[1:] - r[:-1]))) / (len(y_) ** 2 - 1)

return xi

I compared the classical linear correlation coefficient, i.e., Pearson’s r-score (r), with Chatterjee’s xi-score (\xi). It is interesting to see in a glimpse that xi-score can capture relationship between X and Y, where the function of X is not necessarily linear. For example, the last example, i.e., quadratic function. Linear relationship Random scatter 