On Conditional Correlations

Abstract

The Pearson correlation, correlation ratio, and maximal correlation have been well-studied in the literature. In this paper, we study the conditional versions of these quantities. We extend the most important properties of the unconditional versions to the conditional versions, and also derive some new properties. Based on the conditional maximal correlation, we define an information-correlation function of two arbitrary random variables, and use it to derive an impossibility result for the problem of the non-interactive simulation of random variables.