报告人：李润泽
报告地点：腾讯会议ID:321 194 970
报告时间：2022年07月28日星期四10:00-11:00
报告摘要：
This paper is concerned with test of the conditional independence. We first establish an equivalence between the conditional independence and the mutual independence. Based on the equivalence, we propose an index to measure the conditional dependence by quantifying the mutual dependence among the transformed variables. The proposed index has several appealing properties. (a) It is distribution free since the limiting null distribution of the proposed index does not depend on the population distributions of the data. Hence the critical values can be tabulated by simulations. (b) The proposed index ranges from zero to one, and equals zero if and only if the conditional independence holds. Thus, it has nontrivial power under the alternative hypothesis. (c) It is robust to outliers and
heavy-tailed data since it is invariant to conditional strictly monotone transformations. (d) It has low computational cost since it incorporates a simple closed-form expression and can be implemented in quadratic time. (e) It is insensitive to tuning parameters involved in the calculation of the proposed index. (f) The new index is applicable for multivariate random vectors as well as for discrete data. All these properties enable us to use the new index as statistical inference tools for various data. The effectiveness of the method is illustrated through extensive simulations and a real application on causal discovery.
主讲人简介：
Runze Li is the Eberly Family Chair in Statistics, The Pennsylvania State University at University Park. His research interest includes variable selection and feature screening, nonparametric and semiparametric regression modeling, and statistical applications to social behavioral sciences and neural science. He is a Fellow of IMS, ASA and AAAS. He served as Co-Editor of Annals of Statistics from 2013 to 2015, and received the ICSA Distinguished Achievement Award in 2017.
