A new multivariate and non-parametric association measure based on paired orthants

Abstract

Multivariate correlation analysis plays a key role in various fields such as statistics and big data analytics. In this paper, it is presented a new non-parametric association measure between more than two variables based on the concept of paired orthants. In order to evaluate the proposed methodology, different N-tuple sets (from two to six variables) have been evaluated. The presented rank correlation analysis not only evaluates the inter-relatedness of multiple variables, but also determine the specific tendency of these variables.