The integrative analysis of copy number alteration (CNA) and gene expression (GE) is an essential part of cancer research considering the impact of CNAs on cancer progression and prognosis. In this research, an integrative analysis was performed with generalized differentially coexpressed gene sets (gdCoxS), which is a modification of dCoxS. In gdCoxS, set-wise interaction is measured using the correlation of sample-wise distances with Renyi’s relative entropy, which requires an estimation of sample density based on omics profiles. To capture correlations between the variables, multivariate density estimation with covariance was applied. In the simulation study, the power of gdCoxS outperformed dCoxS that did not use the correlations in the density estimation explicitly. In the analysis of the lower-grade glioma of the cancer genome atlas program (TCGA-LGG) data, the gdCoxS identified 577 pathway CNAs and GEs pairs that showed significant changes of interaction between the survival and non-survival group, while other benchmark methods detected lower numbers of such pathways. The biological implications of the significant pathways were well consistent with previous reports of the TCGA-LGG. Taken together, the gdCoxS is a useful method for an integrative analysis of CNAs and GEs.