On a nonparametric notion of residual and its applications

DOI10.1016/J.SPL.2015.10.011MaRDI QIDQ899668zbMATH OpenOpenAlexFDO

Authors Bodhisattva Sen, G. J. Székely, Rohit Kumar Patra

Publication date 30 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.3886

zbMATH Keywords

conditional distribution functiontesting conditional independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: Let $(X,mathbfZ)$ be a continuous random vector in $mathbbRimesmathbb{R}^d$, $dge1$. In this paper, we define the notion of a nonparametric residual of $X$ on $mathbfZ$ that is always independent of the predictor $mathbfZ$. We study its properties and show that the proposed notion of residual matches with the usual residual (error) in a multivariate normal regression model. Given a random vector $(X,Y,mathbfZ)$ in $mathbbRimesmathbbRimesmathbb{R}^d$, we use this notion of residual to show that the conditional independence between $X$ and $Y$, given $mathbfZ$, is equivalent to the mutual independence of the residuals (of $X$ on $mathbfZ$ and $Y$ on $mathbfZ$) and $mathbfZ$. This result is used to develop a test for conditional independence. We propose a bootstrap scheme to approximate the critical value of this test. We compare the proposed test, which is easily implementable, with some of the existing procedures through a simulation study.

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Cited in

(10)

• General tests of conditional independence based on empirical processes indexed by functions
• Measures of conditional dependence for nonlinearity, asymmetry and beyond
• Minimax optimal conditional independence testing
• Local permutation tests for conditional independence
• Distance-covariance-based tests for heteroscedasticity in nonlinear regressions
• The Locally Gaussian Partial Correlation
• A survey of some recent developments in measures of association
• Characterizations of residual implications derived from uni-nullnorms
• scientific article; zbMATH DE number 7370587 (Why is no real title available?)
• A simple measure of conditional dependence

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• R

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