Testing conditional independence via quantile regression based partial copulas

MaRDI QIDQ4998973zbMATH OpenFDO

Authors Lasse Petersen, Niels Richard Hansen

Publication date 9 July 2021

Full work available at URL https://arxiv.org/abs/2003.13126, https://jmlr.csail.mit.edu/papers/v22/20-1074.html

zbMATH Keywords

conditional distribution functionconditional independence testingnonparametric testingpartial copulaquantile regression

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05)

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Cites work

• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models
• Causality. Models, reasoning, and inference
• Covariate-adjusted Spearman's rank correlation with probability-scale residuals
• Estimation of a copula when a covariate affects only marginal distributions
• scientific article; zbMATH DE number 3635280 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• Nonparametric estimation of pair-copula constructions with the empirical pair-copula
• On a nonparametric notion of residual and its applications
• On almost sure convergence of conditional empirical distribution functions
• PC algorithm for nonparanormal graphical models
• Quantile and probability curves without crossing
• Quantile regression.
• Remarks on a Multivariate Transformation
• Testing conditional independence via Rosenblatt transforms
• The Hardness of Conditional Independence Testing and the Generalised Covariance Measure
• The partial copula: properties and associated dependence measures
• Uniform in bandwidth consistency of kernel-type function estimators
• Uniformity and the delta method
• Valid post-selection inference in high-dimensional approximately sparse quantile regression models

Cited in

(14)

• Local permutation tests for conditional independence
• Positive quadrant dependence tests for copulas
• Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression
• A Projection-Based Nonparametric Test of Conditional Quantile Independence
• Test of conditional independence in factor models via Hilbert-Schmidt independence criterion
• Nonparametric conditional local independence testing
• On Azadkia-Chatterjee's conditional dependence coefficient
• Testing Conditional Independence via Quantile Regression Based Partial Copulas
• A double-robust test for high-dimensional gene coexpression networks conditioning on clinical information
• Post-selection inference for causal effects after causal discovery
• Conditional dependence learning with high-dimensional conditioning variables
• Conditional independence testing for discrete distributions: beyond ^2- and G-tests
• The projected covariance measure for assumption-lean variable significance testing
• Debiased quantile significance testing with machine learning methods

Describes a project that uses

Uses Software

• R
• quantreg

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