A New Multiple Correlation Coefficient without Specifying the Dependent Variable

Abstract: Multiple correlation is a fundamental concept with broad applications. The classical multiple correlation coefficient is developed to assess how strongly a dependent variable is associated with a linear combination of independent variables. To compute this coefficient, the dependent variable must be chosen in advance. In many applications, however, it is difficult and even infeasible to specify the dependent variable, especially when some variables of interest are equally important. To overcome this difficulty, we propose a new coefficient of multiple correlation which (a) does not require the specification of the dependent variable, (b) has a simple formula and shares connections with the classical correlation coefficients, (c) consistently measures the linear correlation between continuous variables, which is 0 if and only if variables are uncorrelated and 1 if and only if one variable is a linear function of others, and (d) has an asymptotic distribution which can be used for hypothesis testing. We study the asymptotic behavior of the sample coefficient under mild regularity conditions. Given that the asymptotic bias of the sample coefficient is not negligible when the data dimension and the sample size are comparable, we propose a bias-corrected estimator that consistently performs well in such cases. Moreover, we develop an efficient strategy for making inferences on multiple correlation based on either the limiting distribution or the resampling methods and the stochastic approximation Monte Carlo algorithm, depending on whether the regularity assumptions are valid or not. Theoretical and numerical studies demonstrate that our coefficient provides a useful tool for evaluating multiple correlation in practice.