A new framework enables conditional independence testing for single realizations of nonstationary nonlinear multivariate time series using time-varying nonlinear regression, local long-run covariance estimation, and distribution-uniform Gaussian approximation.
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Conditional independence testing with a single realization of a multivariate nonstationary nonlinear time series
A new framework enables conditional independence testing for single realizations of nonstationary nonlinear multivariate time series using time-varying nonlinear regression, local long-run covariance estimation, and distribution-uniform Gaussian approximation.