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Testing Conditional Independence via Rosenblatt Transforms
2007
Social Science Research Network
This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown ...nite dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution free while retaining computational convenience. Some results from Monte Carlo simulations are presented and discussed.
doi:10.2139/ssrn.1012853
fatcat:5b4xolphdrbplcjziwgmm5rhpm