Azadkia-Chatterjee's dependence coefficient for infinite dimensional data

TL;DR

This paper extends Azadkia-Chatterjee's dependence coefficient to infinite-dimensional data, especially curves, and explores the complex asymptotic behavior of its estimator, offering new insights for graph-based methods.

Contribution

It introduces a framework for the dependence coefficient in infinite-dimensional spaces and analyzes the estimator's asymptotic properties, addressing previously unexplored challenges.

Findings

Insights into the estimator's asymptotic behavior in infinite dimensions

Strategies to handle the nearest neighbor structure complexity

Implications for other graph-based dependence measures

Abstract

We extend the scope of Azadkia-Chatterjee's dependence coefficient between a scalar response $Y$ and a multivariate covariate $X$ to the case where $X$ takes values in a general metric space. Particular attention is paid to the case where $X$ is a curve. Although extending this framework at the population level is relatively straightforward, analyzing the asymptotic behavior of the estimator proves to be complex. This complexity is largely related to the nearest neighbor structure of the infinite-dimensional covariate sample, leading us to explore a topic that has not been previously addressed in the literature. The primary contribution of this paper is to provide insights into this issue and propose strategies to address it. Our findings also have significant implications for other graph-based methods facing similar challenges.