A novel measure of correlation between data sets is proposed based on applying the notion of “probabilistic support” to compare the pairwise comparisons of measurements. Probabilistic Rank Correlation (PRC) is a crisp instantiation of this idea, in the spirit of traditional rank correlations. It is shown that, under broad conditions, Probabilistic Rank Correlations has a strong, elegant transitivity property. The practical application of the PRC is also illustrated.
Correlation, Transitivity, Probabilistic support, Probabilistic Rank Correlation, Correlation measure
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