On a nonparametric notion of residual and its applications

Rohit K. Patra, Bodhisattva Sen and Gábor J. Székely

Statistics & Probability Letters, 2016, vol. 109, issue C, 208-213

Abstract: Given a random vector (X,Z), we define a notion of nonparametric residual of X on Z that is always independent of Z. Given (X,Y,Z), we use this notion of residual to develop a test for the conditional independence between X and Y, given Z.

Keywords: Conditional distribution function; Testing conditional independence (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2015.10.011

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