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arXiv · 2207.13012

Asymptotic normality of an estimator of kernel-based conditional mean dependence measure

Terence Kevin Manfoumbi Djonguet·Guy Martial Nkiet
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Abstract

We propose an estimator of the kernel-based conditional mean dependence measure obtained from an appropriate modification of a naive estimator based on usual empirical estimators. We then get asymptotic normality of this estimator both under conditional mean independence hypothesis and under the alternative hypothesis. A new test for conditional mean independence of random variables valued into Hilbert spaces is then introduced.

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Terence Kevin Manfoumbi Djonguet, Guy Martial Nkiet. 2022-07-26. Asymptotic normality of an estimator of kernel-based conditional mean dependence measure. https://arxiv.org/abs/2207.13012

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