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Fast Conditional Independence Test for Vector Variables with Large Sample Sizes

8 April 2018
Krzysztof Chalupka
Pietro Perona
F. Eberhardt
    VLM
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Abstract

We present and evaluate the Fast (conditional) Independence Test (FIT) -- a nonparametric conditional independence test. The test is based on the idea that when P(X∣Y,Z)=P(X∣Y)P(X \mid Y, Z) = P(X \mid Y)P(X∣Y,Z)=P(X∣Y), ZZZ is not useful as a feature to predict XXX, as long as YYY is also a regressor. On the contrary, if P(X∣Y,Z)≠P(X∣Y)P(X \mid Y, Z) \neq P(X \mid Y)P(X∣Y,Z)=P(X∣Y), ZZZ might improve prediction results. FIT applies to thousand-dimensional random variables with a hundred thousand samples in a fraction of the time required by alternative methods. We provide an extensive evaluation that compares FIT to six extant nonparametric independence tests. The evaluation shows that FIT has low probability of making both Type I and Type II errors compared to other tests, especially as the number of available samples grows. Our implementation of FIT is publicly available.

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