codec

Dependence and Conditional Dependence

For random variable \(Y\) and random vectors \(Z\) and \(X\), \(T(Y, Z\mid X)\in[0, 1]\), conditional dependence coefficient, gives us a measure of dependence of \(Y\) and \(Z\) given \(X\), which is zero if and only if \(Y\) is independent of \(Z\) given \(X\) and is 1 if and only if \(Y\) is a function of \(Z\) given \(X\). Function codec estimates this value. The default value for \(X\) is NULL and if is not provided by the user, it gives the dependence measure of \(Y\) on \(Z\). For more details on the definition of \(T\) and its properties, see the paper A Simple Measure Of Conditional Dependence.

Below you can see a simple example of this measure.

library(FOCI)
n = 10000
x1 = matrix(runif(n), ncol = 1)
x2 = matrix(runif(n), ncol = 1)
x3 = matrix(runif(n), ncol = 1)
y = (x1 + x2 + x3) %% 1
# y is independent of each of x1 and x2 and x3 
codec(y, x1)
#> [1] 0.00032847
codec(y, x2)
#> [1] -0.01867527
codec(y, x3)
#> [1] -0.01617087

# y is independent of the pair (x1, x2)
codec(y, cbind(x1, x2))
#> [1] -0.00863463

# y is a function of (x1, x2, x3)
codec(y, cbind(x1, x2, x3))
#> [1] 0.8753648

# conditional on x3, y is a function of (x1, x2)
codec(y, cbind(x1, x2), x3)
#> [1] 0.8773482
# conditional on x3, y is independent of x1
codec(y, x1, x3)
#> [1] 0.004702005