A multivariate extension of Azadkia-Chatterjee's rank coefficient

Wenjie Huang, Zonghan Li, Yuhao Wang

The Azadkia-Chatterjee coefficient is a rank-based measure of dependence between a random variable $Y\in \mathbb{R}$ and a random vector $\mathbf{Z}\in {\mathbb{R}}^{d_Z}$. In…