In this paper, we propose a novel test of independence based on the concept of correntropy. We explore correntropy from a statistical perspective and discuss its properties in the context of testing independence. We introduce the novel concept of parametric correntropy and design a test of independence based on it. We further discuss how the proposed test relaxes the assumption of Gaussianity. Finally, we discuss some computational issues related to the proposed method and compare it with state-of-the-art techniques.
demo.m Example showing the use of centcorrenexp
centcorrenexp.m Parametric centered correntropy with double exponential kernel
cipexp.m Cross information potential with double exponential kernel