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Author:

Lai, Tingyu (Lai, Tingyu.) | Zhang, Zhongzhan (Zhang, Zhongzhan.) (Scholars:张忠占)

Indexed by:

SCIE

Abstract:

This article is focused on the problem to measure and test the conditional mean dependence of a response variable on a predictor variable. A local influence detection approach is developed combining with the martingale difference divergence (MDD) metric, and an efficient wild bootstrap implementation is given. The obtained new metric of the conditional mean dependence holds the merits of MDD, while it is more sensitive than the original one, and leads to a powerful test to nonlinear relationships. It is shown by simulations that the proposed test can achieve higher power for general conditional mean dependence relationships even in high-dimensional settings. Theoretical asymptotic properties of the local influence test statistic are given, and a real data analysis is also presented for further illustration. The localization idea could be combined with other conditional mean dependence metrics.

Keyword:

Nonlinear dependence Conditional mean independence Local influence Martingale difference divergence

Author Community:

  • [ 1 ] [Lai, Tingyu]Guangxi Normal Univ, Guilin 541004, Peoples R China
  • [ 2 ] [Zhang, Zhongzhan]Beijing Univ Technol, Beijing 100124, Peoples R China

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Source :

COMMUNICATIONS IN MATHEMATICS AND STATISTICS

ISSN: 2194-6701

Year: 2023

0 . 9 0 0

JCR@2022

Cited Count:

WoS CC Cited Count: 0

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 12

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