On a measure of dependence and its application to ICA

In this article we study a copula-based measure of‎ ‎dependence constructed based on the concept of average quadrant‎ ‎dependence‎. ‎The rank-based estimator of this index and its ‎asymptotic normality is investigated‎. ‎An algorithm for independent ‎component analysis is developed whose contrast function is the‎ ‎proposed dependence coefficient.

Keywords:

Copula , Dependence measure , Independent component analysis , Test of independence