Identifying Correlation in Stream of Samples

Abstract

Identifying independence between two random variables or correlated given their samples has been a fundamental problem in Statistics. However, how to do so in a space-efficient way if the number of states is large is not quite well-studied. We propose a new, simple counter matrix algorithm, which utilize hash functions and a compressed counter matrix to give an unbiased estimate of the $\ell_2$ independence metric. With $\mathcal{O}(\epsilon^{-4}\log\delta^{-1})$ (very loose bound) space, we can guarantee $1\pm\epsilon$ multiplicative error with probability at least $1-\delta$. We also provide a comparison of our algorithm with the state-of-the-art sketching of sketches algorithm and show that our algorithm is effective, and actually faster and at least 2 times more space-efficient.