Testing conditional independence using maximal nonlinear conditional correlation

Abstract
In this paper, the maximal nonlinear conditional correlation of two random vectors and given another random vector , denoted by , is defined as a measure of conditional association, which satisfies certain desirable properties. When is continuous, a test for testing the conditional independence of and given is constructed based on the estimator of a weighted average of the form , where is the probability density function of and the 's are some points in the range of . Under some conditions, it is shown that the test statistic is asymptotically normal under conditional independence, and the test is consistent.
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