Nonparametric tests for conditional independence using conditional distributions
From MaRDI portal
conditional distribution functionconditional independenceGranger non-causalityNadaraya-Watson estimatornonparametric testsS\&P500 indextime seriesVIX volatility index
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Recommendations
- A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
- Characteristic function based testing for conditional independence: a nonparametric regression approach
- A new statistic and practical guidelines for nonparametric Granger causality testing
- A consistent characteristic function-based test for conditional independence
- Testing Conditional Independence Restrictions
Cites work
- A consistent characteristic function-based test for conditional independence
- A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
- A nonparametric test for equality of distributions with mixed categorical and continuous data
- A Note on Noncausality
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- ARCH models and financial applications
- Asymptotic distribution of smoothers based on local means and local medians under dependence
- Bandwidth selection in nonparametric kernel testing
- Causality in temporal systems. Characterizations and a Survey
- Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Central limit theorem for integrated square error of multivariate nonparametric density estimators
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Goodness-of-fit tests for kernel regression with an application to option implied volatilities
- scientific article; zbMATH DE number 4047369 (Why is no real title available?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Mixing: Properties and examples
- Noncausality in Continuous Time
- Nonparametric function estimation involving time series
- On U-statistics and v. mise? statistics for weakly dependent processes
- REGRESSION QUANTILES FOR TIME SERIES
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Short and long run causality measures: theory and inference
- Short Run and Long Run Causality in Time Series: Theory
- Significance testing in nonparametric regression based on the bootstrap.
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Testing conditional independence using maximal nonlinear conditional correlation
- Testing conditional independence via empirical likelihood
- Testing conditional independence via Rosenblatt transforms
- Testing the Markov property with high frequency data
- The local bootstrap for kernel estimators under general dependence conditions
Cited in
(23)- The Hardness of Conditional Independence Testing and the Generalised Covariance Measure
- Testing conditional independence with data missing at random
- Test for conditional independence with application to conditional screening
- A nonparametric comparison of conditional distributions with nonnegligible cure fractions
- Nonparametric estimation and inference for conditional density based Granger causality measures
- Testing conditional independence via empirical likelihood
- The reaction of stock market returns to unemployment
- A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
- Strongly consistent nonparametric tests of conditional independence
- Characteristic function based testing for conditional independence: a nonparametric regression approach
- Testing conditional independence via integrating-up transform
- On testing marginal versus conditional independence
- Nonparametric Hypothesis Tests for Statistical Dependency
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- A weighted independence test based on smooth estimation of Kendall distribution
- TESTING FOR UNOBSERVED HETEROGENEOUS TREATMENT EFFECTS WITH OBSERVATIONAL DATA
- General tests of conditional independence based on empirical processes indexed by functions
- Testing Granger non-causality in expectiles
- Measuring Granger Causality in Quantiles
- The Locally Gaussian Partial Correlation
- A unified approach to nonparametric trend tests for dependent and independent samples
- A new statistic and practical guidelines for nonparametric Granger causality testing
- Testing conditional independence using maximal nonlinear conditional correlation
This page was built for publication: Nonparametric tests for conditional independence using conditional distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2934399)
