Exploring and measuring non-linear correlations: Copulas, Lightspeed Transportation and Clustering

30 Oct 2016Gautier MartiSebastien AndlerFrank NielsenPhilippe Donnat

We propose a methodology to explore and measure the pairwise correlations that exist between variables in a dataset. The methodology leverages copulas for encoding dependence between two variables, state-of-the-art optimal transport for providing a relevant geometry to the copulas, and clustering for summarizing the main dependence patterns found between the variables... (read more)

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