A multivariate extension of Azadkia-Chatterjee's rank coefficient

Abstract: The Azadkia-Chatterjee coefficient is a rank-based measure of dependence between a random variable $Y \in \mathbb{R}$ and a random vector ${\boldsymbol Z} \in \mathbb{R}^{d_Z}$. This paper proposes a multivariate extension that measures dependence between random vectors ${\boldsymbol Y} \in \mathbb{R}^{d_Y}$ and ${\boldsymbol Z} \in \mathbb{R}^{d_Z}$, based on $n$ i.i.d. samples. The proposed coefficient converges almost surely to a limit with the following properties: i) it lies in $[0, 1]$; ii) it equals zero if and only if ${\boldsymbol Y}$ and ${\boldsymbol Z}$ are independent; and iii) it equals one if and only if ${\boldsymbol Y}$ is almost surely a function of ${\boldsymbol Z}$. Remarkably, the only assumption required by this convergence is that ${\boldsymbol Y}$ is not almost surely a constant. We further prove that under the same mild condition, the coefficient is asymptotically normal when ${\boldsymbol Y}$ and ${\boldsymbol Z}$ are independent and propose a merge sort based algorithm to calculate this coefficient in time complexity $O(n (\log n)^{d_Y})$. Finally, we show that it can be used to measure conditional dependence between ${\boldsymbol Y}$ and ${\boldsymbol Z}$ conditional on a third random vector ${\boldsymbol X}$, and prove that the measure is monotonic with respect to the deviation from an independence distribution under certain model restrictions.