  Estimating the strength of dependency between two variables is fundamental
for exploratory analysis and many other applications in data mining. For
example: non-linear dependencies between two continuous variables can be
explored with the Maximal Information Coefficient (MIC); and categorical
variables that are dependent to the target class are selected using Gini gain
in random forests. Nonetheless, because dependency measures are estimated on
finite samples, the interpretability of their quantification and the accuracy
when ranking dependencies become challenging. Dependency estimates are not
equal to 0 when variables are independent, cannot be compared if computed on
different sample size, and they are inflated by chance on variables with more
categories. In this paper, we propose a framework to adjust dependency measure
estimates on finite samples. Our adjustments, which are simple and applicable
to any dependency measure, are helpful in improving interpretability when
quantifying dependency and in improving accuracy on the task of ranking
dependencies. In particular, we demonstrate that our approach enhances the
interpretability of MIC when used as a proxy for the amount of noise between
variables, and to gain accuracy when ranking variables during the splitting
procedure in random forests.
