A Test for Conditional Correlation Between Random Vectors Based on Weighted U-Statistics.
IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP)(2022)
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.
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Key words
Conditional Correlation,U-Statistics,Order Statistics,Data-Driven Signal Processing,Small Sample Regime
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