A Nonparametric Hellinger Metric Test for Conditional Independence

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f(y|x,z) and f(y|x), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and e...

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Bibliographic Details
Main Authors: SU, Liangjun, WHITE, Halbert
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/soe_research/248
https://ink.library.smu.edu.sg/context/soe_research/article/1247/viewcontent/Nonparametric_Hellinger_Metric_Test_pp_2005.pdf
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Institution: Singapore Management University
Language: English