On Azadkia-Chatterjee's conditional dependence coefficient

DOI10.3150/22-BEJ1529arXiv2108.06827WikidataQ128905575 ScholiaQ128905575MaRDI QIDQ6201829FDOQ6201829

Authors: Hongjian Shi, Mathias Drton, Fang Han 

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In recent work, Azadkia and Chatterjee (2021) laid out an ingenious approach to defining consistent measures of conditional dependence. Their fully nonparametric approach forms statistics based on ranks and nearest neighbor graphs. The appealing nonparametric consistency of the resulting conditional dependence measure and the associated empirical conditional dependence coefficient has quickly prompted follow-up work that seeks to study its statistical efficiency. In this paper, we take up the framework of conditional randomization tests (CRT) for conditional independence and conduct a power analysis that considers two types of local alternatives, namely, parametric quadratic mean differentiable alternatives and nonparametric H"older smooth alternatives. Our local power analysis shows that conditional independence tests using the Azadkia--Chatterjee coefficient remain inefficient even when aided with the CRT framework, and serves as motivation to develop variants of the approach; cf. Lin and Han (2022b). As a byproduct, we resolve a conjecture of Azadkia and Chatterjee by proving central limit theorems for the considered conditional dependence coefficients, with explicit formulas for the asymptotic variances.

Full work available at URL: https://arxiv.org/abs/2108.06827

zbMATH Keywords

conditional independencerank-based testlocal power analysisgraph-based testnearest neighbor graphs

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

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Cited In (1)

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