Nonparametric tests for conditional independence using conditional distributions

DOI10.1080/10485252.2014.945447zbMath1329.62209OpenAlexW2109098759MaRDI QIDQ2934399

Taoufik Bouezmarni, Abderrahim Taamouti

Publication date: 12 December 2014

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/13768/1/13768.pdf

zbMATH Keywords

time seriesNadaraya-Watson estimatorconditional independencenonparametric testsGranger non-causalityVIX volatility indexconditional distribution functionS\&P500 index

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Economic time series analysis (91B84)

Related Items (8)

CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH ⋮ Testing conditional independence via integrating-up transform ⋮ A weighted independence test based on smooth estimation of Kendall distribution ⋮ TESTING FOR UNOBSERVED HETEROGENEOUS TREATMENT EFFECTS WITH OBSERVATIONAL DATA ⋮ The reaction of stock market returns to unemployment ⋮ Nonparametric estimation and inference for conditional density based Granger causality measures ⋮ Testing conditional independence via empirical likelihood ⋮ Testing conditional independence with data missing at random

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