On Testing Marginal versus Conditional Independence

@article{Guo2020OnTM,
  title={On Testing Marginal versus Conditional Independence},
  author={F. Guo and T. Richardson},
  journal={Biometrika},
  year={2020}
}
We consider testing marginal independence versus conditional independence in a trivariate Gaussian setting. The two models are non-nested and their intersection is a union of two marginal independences. We consider two sequences of such models, one from each type of independence, that are closest to each other in the Kullback-Leibler sense as they approach the intersection. They become indistinguishable if the signal strength, as measured by the product of two correlation parameters, decreases… Expand
Universal inference
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