The Locally Gaussian Partial Correlation
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It is well known in econometrics and other fields that the dependence structure for jointly Gaussian variables can be fully captured using correlations, and that the conditional dependence structure in the same way can be described using partial correlations. The partial correlation does not, however, characterize conditional dependence in many non-Gaussian populations. This article introduces the local Gaussian partial correlation (LGPC), a new measure of conditional…