Differential Distance Correlation and Its Applications

Abstract: In this paper, we propose a novel coefficient, named differential distance correlation, to measure the strength of dependence between a random variable $ Y \in \mathbb {R} $ and a random vector $ X \in \mathbb {R}^{p} $. The coefficient has a concise expression and is invariant to arbitrary orthogonal transformations of the random vector. Moreover, the coefficient is a strongly consistent estimator of a simple and interpretable dependent measure, which is 0 if and only if $ X $ and $ Y $ are independent and equal to 1 if and only if $ Y $ determines $ X $ almost surely. Furthermore, the coefficient exhibits asymptotic normality with a simple variance under the independent hypothesis, facilitating fast and accurate estimation of p-value for testing independence. Two simulated experiments demonstrate that our proposed coefficient outperforms some dependence measures in identifying relationships with higher oscillatory behavior. We also apply our method to analyze a real data example.