A kernel-based measure for conditional mean dependence

Lai, TY; Zhang, ZZ; Wang, YF

Zhang, ZZ (corresponding author), Beijing Univ Technol, Beijing 100124, Peoples R China.

COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2021; 160 ():

Abstract

A novel metric, called kernel-based conditional mean dependence (KCMD), is proposed to measure and test the departure from conditional mean independen......

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