Testing conditional independence via Rosenblatt transforms

Testing conditional independence via Rosenblatt transforms

Kyungchul Song

Source: Ann. Statist. Volume 37, Number 6B (2009), 4011-4045.

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.

Primary Subjects: 62G07, 62G09, 62G10

Keywords: Conditional independence; distribution-free tests; Rosenblatt transforms; wild bootstrap

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Permanent link to this document: http://projecteuclid.org/euclid.aos/1256303535
Digital Object Identifier: doi:10.1214/09-AOS704

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