Testing conditional independence via Rosenblatt transforms

Details Testing conditional independence via Rosenblatt transforms Testing conditional independence via Rosenblatt transforms

2009-11-19

arxiv.org/abs/0911.3787v1

Annals of Statistics 2009, Vol. 37, No. 6B, 4011-4045

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/09-AOS704 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/09-AOS704

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.

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