A Test for Conditional Correlation Between Random Vectors Based on Weighted U-Statistics

Marc Vilà; Jaume Riba

ICASSP 2022accepted0 citations

A Test for Conditional Correlation Between Random Vectors Based on Weighted U-Statistics

Abstract

This article explores U-Statistics as a tool for testing conditional correlation between two multivariate sources with respect to a potential confounder. The proposed approach is effectively an instance of weighted U-Statistics and does not impose any statistical model on the processed data, in contrast to other well-known techniques that assume Gaussianity. By avoiding determinants and inverses, the method presented displays promising robustness in small-sample regimes. Its performance is evaluated numerically through its MSE and ROC curves.

BibTeX

@inproceedings{icassp2022_atestforconditio,
  title = {A Test for Conditional Correlation Between Random Vectors Based on Weighted U-Statistics},
  author = {Marc Vilà and Jaume Riba},
  booktitle = {ICASSP 2022},
  year = {2022}
}