On a nonparametric notion of residual and its applications

DOI10.1016/J.SPL.2015.10.011zbMATH Open1383.62169arXiv1409.3886OpenAlexW2162293148MaRDI QIDQ899668FDOQ899668

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

Publication date: 30 December 2015

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

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.

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

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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)

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Cited In (10)

• 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
• Title not available (Why is that?)
• Characterizations of residual implications derived from uni-nullnorms
• A simple measure of conditional dependence
• General tests of conditional independence based on empirical processes indexed by functions

Uses Software

• R
• energy

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