Interpoint-distance-based graphs can be used to define measures of association that extend Kendall's notion of a generalized correlation coefficient. We present particular statistics that provide distribution-free tests of independence sensitive to alternatives involving non-monotonic relationships. Moreover, since ordering plays no essential role, the ideas are fully applicable in a multivariate setting. We also define an asymmetric coefficient measuring the extent to which (a vector) $X$ can be used to make single-valued predictions of (a vector) $Y$. We discuss various techniques for proving that such statistics are asymptotically normal. As an example of the effectiveness of our approach, we present an application to the examination of residuals from multiple regression.
"Graph-Theoretic Measures of Multivariate Association and Prediction." Ann. Statist. 11 (2) 377 - 391, June, 1983. https://doi.org/10.1214/aos/1176346148