作者：Azadkia, Mona; Chatterjee, Sourav
作者单位：Stanford University
摘要：We propose a coefficient of conditional dependence between two random variables Y and Z given a set of other variables X-1, ..., X-p, based on an i.i.d. sample. The coefficient has a long list of desirable properties, the most important of which is that under absolutely no distributional assumptions, it converges to a limit in [0, 1], where the limit is 0 if and only if Y and Z are conditionally independent given X-1, ..., X-p, and is 1 if and only if Y is equal to a measurable function of Z g...
作者：de Chaumaray, Marie du Roy; Marbac, Matthieu; Patilea, Valentin
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite de Rennes; Ecole Nationale de la Statistique et de l'Analyse de l'Information (ENSAI)
摘要：The empirical likelihood inference is extended to a class of semiparametric models for stationary, weakly dependent series. A partially linear single-index regression is used for the conditional mean of the series given its past, and the present and past values of a vector of covariates. A parametric model for the conditional variance of the series is added to capture further nonlinear effects. We propose suitable moment equations which characterize the mean and variance model. We derive an em...
