Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

DOI10.1080/07350015.2011.638831MaRDI QIDQ6666869zbMATH OpenFDO

Authors Taoufik Bouezmarni, Jeroen V. K. Rombouts, Abderrahim Taamouti

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2011.638831

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonparametric hypothesis testing (62G10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cited in

(2)

• Conditional dependence learning with high-dimensional conditioning variables
• Copula-based estimation of health inequality measures

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