Nonparametric Testing of Conditional Independence by Means of the Partial Copula

11 Pages Posted: 5 Nov 2010

See all articles by Wicher Bergsma

Wicher Bergsma

London School of Economics & Political Science (LSE) - Department of Statistics

Date Written: November 4, 2010

Abstract

We propose a new method to test conditional independence of two real random variables $Y$ and $Z$ conditionally on an arbitrary third random variable $X$. The partial copula is introduced, defined as the joint distribution of $U=F_{Y|X}(Y|X)$ and $V=F_{Z|X}(Z|X)$. We call this transformation of $(Y,Z)$ into $(U,V)$ the partial copula transform. It is easy to show that if $Y$ and $Z$ are continuous for any given value of $X$, then $Y\ind Z|X$ implies $U\ind V$. Conditional independence can then be tested by (i) applying the partial copula transform to the data points and (ii) applying a test of ordinary independence to the transformed data. In practice, $F_{Y|X}$ and $F_{Z|X}$ will need to be estimated, which can be done by, e.g., standard kernel methods. We show that under easily satisfied conditions, and for a very large class of test statistics for independence which includes the covariance, Kendall's tau, and Hoeffding's test statistic, the effect of this estimation vanishes asymptotically. Thus, for large samples, the estimation can be ignored and we have a simple method which can be used to apply a wide range of tests of independence, including ones with consistency for arbitrary alternatives, to test for conditional independence. Advantages of the partial copula approach compared to competitors seem to be simplicity and generality.

Suggested Citation

Bergsma, Wicher, Nonparametric Testing of Conditional Independence by Means of the Partial Copula (November 4, 2010). Available at SSRN: https://ssrn.com/abstract=1702981 or http://dx.doi.org/10.2139/ssrn.1702981

Wicher Bergsma (Contact Author)

London School of Economics & Political Science (LSE) - Department of Statistics ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

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