A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality


This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in general settings since there is no restriction on the dimension… (More)


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Citations per Year

Citation Velocity: 6

Averaging 6 citations per year over the last 3 years.

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