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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/67383

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67383

Title:	A conditional independence test for dependent data based on maximal conditional correlation
Authors:	黃子銘 Cheng, Yu-Hsiang;Huang, Tzee-Ming
Contributors:	統計系
Keywords:	Conditional independence test;αα-mixing;Maximal conditional nonlinear correlation
Date:	2012.05
Issue Date:	2014-07-08 17:21:12 (UTC+8)
Abstract:	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 αα-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.
Relation:	Journal of Multivariate Analysis, 107, 210-226
Data Type:	article
DOI 連結:	http://dx.doi.org/http://dx.doi.org/10.1016/j.jmva.2012.01.017
DOI:	10.1016/j.jmva.2012.01.017
Appears in Collections:	[統計學系] 期刊論文

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