Fast Conditional Independence Test for Vector Variables with Large Sample Sizes
read the original 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 $P(X \mid Y, Z) = P(X \mid Y)$, $Z$ is not useful as a feature to predict $X$, as long as $Y$ is also a regressor. On the contrary, if $P(X \mid Y, Z) \neq P(X \mid Y)$, $Z$ 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.
This paper has not been read by Pith yet.
Forward citations
Cited by 1 Pith paper
-
Multiscale Cochran-Mantel-Haenszel Scanning for Conditional Dependency
Multiscale CMH scanning generalizes the classic test to continuous spaces, achieving consistency for conditional independence testing by conditioning on marginal order statistics without requiring large stratum sizes.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.