Strongly consistent nonparametric tests of conditional independence

László Györfi and Harro Walk

Statistics & Probability Letters, 2012, vol. 82, issue 6, 1145-1150

Abstract: A simple and explicit procedure for testing the conditional independence of two multi-dimensional random variables given a third random vector is described. The associated L1-based test statistic is defined for when the empirical distribution of the variables is restricted to finite partitions. Distribution-free strong consistency is proved.

Keywords: Conditional independence; Nonparametric test; Partition; Distribution-free strong consistency (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2012.02.023

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