Minimax optimal conditional independence testing

DOI10.1214/20-AOS2030zbMATH Open1480.62077arXiv2001.03039OpenAlexW3203715578MaRDI QIDQ2054483FDOQ2054483

Authors: Matey Neykov, Sivaraman Balakrishnan, Larry Wasserman 

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider the problem of conditional independence testing of $X$ and $Y$ given $Z$ where $X,Y$ and $Z$ are three real random variables and $Z$ is continuous. We focus on two main cases - when $X$ and $Y$ are both discrete, and when $X$ and $Y$ are both continuous. In view of recent results on conditional independence testing (Shah and Peters, 2018), one cannot hope to design non-trivial tests, which control the type I error for all absolutely continuous conditionally independent distributions, while still ensuring power against interesting alternatives. Consequently, we identify various, natural smoothness assumptions on the conditional distributions of $X,Y|Z=z$ as $z$ varies in the support of $Z$, and study the hardness of conditional independence testing under these smoothness assumptions. We derive matching lower and upper bounds on the critical radius of separation between the null and alternative hypotheses in the total variation metric. The tests we consider are easily implementable and rely on binning the support of the continuous variable $Z$. To complement these results, we provide a new proof of the hardness result of Shah and Peters.

Full work available at URL: https://arxiv.org/abs/2001.03039

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zbMATH Keywords

hypothesis testingminimax optimalityconditional independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Minimax procedures in statistical decision theory (62C20)

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Cited In (11)

• Local permutation tests for conditional independence
• Minimax optimality of permutation tests
• A double-robust test for high-dimensional gene coexpression networks conditioning on clinical information
• Reconciling model-X and doubly robust approaches to conditional independence testing
• Nonparametric conditional local independence testing
• Minimax optimal conditional density estimation under total variation smoothness
• On Azadkia-Chatterjee's conditional dependence coefficient
• A survey of some recent developments in measures of association
• Minimax-Optimal Hypothesis Testing With Estimation-Dependent Costs
• Adaptive minimax test of independence
• Near-Optimal Learning of Tree-Structured Distributions by Chow and Liu

Uses Software

• TETRAD
• GeneralisedCovarianceMeasure

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