Measuring dependence and Conditional Dependence: A new approach

Music City Center 

Following the recent developments in measuring dependence between random variables, we introduce a new measure of dependence that is as simple as the classical coefficients like Pearson's correlation; and captures the strength of dependence between the variables consistently by being 0 if and only if the variables are independent and 1 if and only if one is a measurable function of the other. We introduce two different families of estimators and study their asymptotic behaviour under different regimes. Finally, we showcase the application of this new measure in variable selection.