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A TEST FOR CONDITIONAL CORRELATION BETWEEN RANDOM VECTORS BASED ON WEIGHTED U-STATISTICS

Citation Author(s):
Submitted by:
Marc Vila
Last updated:
11 May 2022 - 5:30am
Document Type:
Presentation Slides
Document Year:
2022
Event:
Presenters:
Marc Vilà Insa
Paper Code:
2855
 

This article explores U-Statistics as a tool for testing conditional correlation between two multivariate sources with respect to a potential confounder. The proposed approach is effectively an instance of weighted U-Statistics and does not impose any statistical model on the processed data, in contrast to other well-known techniques that assume Gaussianity. By avoiding determinants and inverses, the method presented displays promising robustness in small-sample regimes. Its performance is evaluated numerically through its MSE and ROC curves.

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