  We introduce the Randomized Dependence Coefficient (RDC), a measure of
non-linear dependence between random variables of arbitrary dimension based on
the Hirschfeld-Gebelein-R\'enyi Maximum Correlation Coefficient. RDC is defined
in terms of correlation of random non-linear copula projections; it is
invariant with respect to marginal distribution transformations, has low
computational cost and is easy to implement: just five lines of R code,
included at the end of the paper.
