Testing conditional independence using maximal nonlinear conditional correlation
Huang, Tzee-Ming
Ann. Statist., Tome 38 (2010) no. 1, p. 2047-2091 / Harvested from Project Euclid
In this paper, the maximal nonlinear conditional correlation of two random vectors X and Y given another random vector Z, denoted by ρ1(X, Y|Z), is defined as a measure of conditional association, which satisfies certain desirable properties. When Z is continuous, a test for testing the conditional independence of X and Y given Z is constructed based on the estimator of a weighted average of the form ∑k=1nZfZ(zk12(X, Y|Z = zk), where fZ is the probability density function of Z and the zk’s are some points in the range of Z. Under some conditions, it is shown that the test statistic is asymptotically normal under conditional independence, and the test is consistent.
Publié le : 2010-08-15
Classification:  Measure of association,  measure of conditional association,  conditional independence test,  62H20,  62H15,  62G10
@article{1278861242,
     author = {Huang, Tzee-Ming},
     title = {Testing conditional independence using maximal nonlinear conditional correlation},
     journal = {Ann. Statist.},
     volume = {38},
     number = {1},
     year = {2010},
     pages = { 2047-2091},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1278861242}
}
Huang, Tzee-Ming. Testing conditional independence using maximal nonlinear conditional correlation. Ann. Statist., Tome 38 (2010) no. 1, pp.  2047-2091. http://gdmltest.u-ga.fr/item/1278861242/