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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
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- Keywords:
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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.