Testing conditional independence via Rosenblatt transforms
Statistics Theory
2009-11-20 v1 Statistics Theory
Abstract
This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown finite-dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution-free while retaining computational convenience. Some results from Monte Carlo simulations are presented and discussed.
Cite
@article{arxiv.0911.3787,
title = {Testing conditional independence via Rosenblatt transforms},
author = {Kyungchul Song},
journal= {arXiv preprint arXiv:0911.3787},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AOS704 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)