Conditional Independence Testing in Hilbert Spaces with Applications to Functional Data Analysis

DOI10.1111/RSSB.12544arXiv2101.07108OpenAlexW3125755977MaRDI QIDQ6044094FDOQ6044094

Rajen D. Shah, Jonas Peters, Author name not available (Why is that?)

Publication date: 17 May 2023

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Abstract: We study the problem of testing the null hypothesis that X and Y are conditionally independent given Z, where each of X, Y and Z may be functional random variables. This generalises testing the significance of X in a regression model of scalar response Y on functional regressors X and Z. We show however that even in the idealised setting where additionally (X, Y, Z) has a Gaussian distribution, the power of any test cannot exceed its size. Further modelling assumptions are needed and we argue that a convenient way of specifying these is based on choosing methods for regressing each of X and Y on Z. We propose a test statistic involving inner products of the resulting residuals that is simple to compute and calibrate: type I error is controlled uniformly when the in-sample prediction errors are sufficiently small. We show this requirement is met by ridge regression in functional linear model settings without requiring any eigen-spacing conditions or lower bounds on the eigenvalues of the covariance of the functional regressor. We apply our test in constructing confidence intervals for truncation points in truncated functional linear models and testing for edges in a functional graphical model for EEG data.

Full work available at URL: https://arxiv.org/abs/2101.07108

zbMATH Keywords

function-on-function regressionsignificance testingfunctional graphical modeltruncated functional linear modeluniform typeI error control

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (4)

• Nonparametric conditional local independence testing
• A Wavelet-Based Independence Test for Functional Data With an Application to MEG Functional Connectivity
• On Azadkia-Chatterjee's conditional dependence coefficient
• General tests of conditional independence based on empirical processes indexed by functions

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