Independence tests based on the conditional expectation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094761" target="_blank" >RIV/61989100:27510/15:86094761 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Independence tests based on the conditional expectation

Original language description

In this paper we propose a new procedure for testing independence of random variables, which is based on the conditional expectation. As it is well known, the behaviour of the conditional expectation may determine a necessary condition for stochastic independence, that is, the so called mean independence. We provide a necessary and sufficient condition for independence in terms of conditional expectation and propose an alternative method to test independence based on this result. Consequently, we provide general class of tests. Observe that generally some non-parametric methods are needed to approximate the conditional expectation, since its exact expression (given the joint distribution) is usually unknown, except for few trivial cases (e.g. Gaussian): we generalize this well known result to the family of elliptical distributions. In order to obtain a sufficiently accurate approximation of the conditional expectation, we propose to use the kernel method or, alternatively, the recently

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

WSEAS Transactions on Mathematics

ISSN

1109-2769

e-ISSN

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Volume of the periodical

14

Issue of the periodical within the volume

1

Country of publishing house

US - UNITED STATES

Number of pages

10

Pages from-to

335-344

UT code for WoS article

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EID of the result in the Scopus database

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