A conditional independence test for dependent data based on maximal conditional correlation

被引：4

作者：

Cheng, Yu-Hsiang ^{[1
]}

Huang, Tzee-Ming ^{[1
]}

机构：

[1] Natl Chengchi Univ, Dept Stat, Taipei 116, Taiwan

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2012年 / 107卷

关键词：

Conditional independence test; alpha-mixing; Maximal conditional nonlinear correlation;

D O I：

10.1016/j.jmva.2012.01.017

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In Huang (2010) [8], a test of conditional independence based on maximal nonlinear conditional correlation is proposed and the asymptotic distribution for the test statistic under conditional independence is established for IID data. In this paper, we derive the asymptotic distribution for the test statistic under conditional independence for alpha-mixing data. The results of simulation show that the test performs reasonably well for dependent data. We also apply the test to stock index data to test Granger noncausality between returns and trading volume. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：210 / 226

页数：17

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