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math.ST2022★ 5 cited
Nonparametric Conditional Local Independence Testing
Alexander Mangulad Christgau, Lasse Petersen, Niels Richard Hansen
Conditional local independence is an asymmetric independence relation among continuous time stochastic processes. It describes whether the evolution of one process is directly infl…
math.ST2020★ 15 cited
Testing Conditional Independence via Quantile Regression Based Partial Copulas
Lasse Petersen, Niels Richard Hansen
The partial copula provides a method for describing the dependence between two random variables and conditional on a third random vector in terms of nonparametric resid…