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| Title: | 相依資料的條件獨立檢定
A conditional independence test for dependent data |
| Authors: | 鄭宇翔
Cheng, Yu Hsiang |
| Contributors: | 黃子銘
Huang, Tzee Ming
鄭宇翔
Cheng, Yu Hsiang |
| Keywords: | 條件獨立檢定 |
| Date: | 2012 |
| Issue Date: | 2013-09-02 15:35:46 (UTC+8) |
| Abstract: | 在一個考慮多個變數的問題中，變數間是否為條件獨立常是人們關心的議題。Huang[10]曾提出一個適用於IID資料的條件獨立檢定方法，此論文將說明此統計量亦適用於alpha-mixing資料的條件獨立檢定問題。另外本論文亦將考慮當條件變數為離散時的條件獨立檢定。本文證實藉由適當修正Huang的檢定統計量，則可解決上述資料型態的條件獨立檢定問題，另外文中亦會提供此修正統計量在條件獨立下的收斂性質。最後我們將利用模擬研究及實際資料分析來說明上述方法的表現。 |
| Reference: | [1] Patrick Billingsley. Probability and Measure. John Wiley & Sons, New York, 1995.
[2] Taou.k Bouezmarni, Jeroen V. K. Rombouts, and Abderrahim Taamouti. A nonparametric copula based test for conditional independence with applications to Granger causality. Working papers, Departamento de Economia Universidad Carlos III de Madrid, 2009.
[3] Yu-Hsiang Cheng and Tzee-Ming Huang. A conditional independence test for dependent data based on maximal conditional correlation. Journal of Multivariate Analysis, 107:210–226, 2012.
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[9] Harold Hotelling. Relations between two sets of variates. Biometrika, 28:321– 377, 1936.
[10] Tzee-Ming Huang. Testing conditional independence using maximal nonlinear conditional correlation. The Annals of Statistics, 38(4):2047–2091, 2010.
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[12] Lexin Li, R. Dennis Cook, and Christopher J. Nachtsheim. Model-free variable selection. Journal of the Royal Statistical Society, Series B: Statistical Methodology, 67(2):285–299, 2005.
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[14] Roger B. Nelsen. An Introduction to Copulas. Springer, New York, 2006.
[15] Efstathios Paparoditis and Dimitris N. Politis. The local bootstrap for kernel estimators under general dependence conditions. Annals of the Institute of Statistical Mathematics, 52(1):139–159, 2000.
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[18] Liangjun Su and Halbert White. A consistent characteristic function-based test for conditional
independence. Journal of Econometrics, 141:807-834, 2007.
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Econometric Theory, 24(4):829–864, 2008.
[20] S. S. Wilks. Certain generalizations in the analysis of variance. Biometrika, 24:471–494, 1932. |
| Description: | 博士
國立政治大學
統計研究所
96354501
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096354501 |
| Data Type: | thesis |
| Appears in Collections: | [統計學系] 學位論文
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