Quantifying and testing dependence to categorical variables

Abstract: We suggest a dependence coefficient between a categorical variable and some general variable taking values in a metric space. We derive important theoretical properties and study the large sample behaviour of our suggested estimator. Moreover, we develop an independence test which has an asymptotic $\chi^2$-distribution if the variables are independent and prove that this test is consistent against any violation of independence. We discuss some extensions, including a variant of the coefficient for measuring conditional dependence.