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Testing independence by nonparametric kernel method

✍ Scribed by Ibrahim A. Ahmad; Qi Li

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 500 KB
Volume: 34
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(96)00183-6

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✦ Synopsis

Using nonparametric kernel estimation method, we propose a consistent test for independence of two random vectors based on the L2 norm of difference between the joint density and the product of their marginals. A Monte Carlo study is carried out to examine the finite sample performance of the proposed test.

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