A ball divergence-based measure for conditional independence testing with a local wild bootstrap
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Abstract In this paper we introduce a new measure of conditional dependence between two random vectors $ {\boldsymbol{X}} $ and $ {\boldsymbol{Y}} $, given another random vector $ \boldsymbol{Z} $ using the ball divergence. Our measure characterizes conditional independence and does not require any moment assumptions. We propose an estimator of the measure using a kernel-averaging technique and derive its asymptotic distribution. Using this estimator, we construct a test for conditional independence based on a novel local wild bootstrap algorithm. Specifically, we design a double-bandwidth-based wild bootstrap algorithm that asymptotically controls the Type I error rate and gives a consistent test against a general class of alternatives. We illustrate the advantage of our method, both in terms of Type I error and power, in a range of simulation settings and also in a real-data example. A consequence of our theoretical results is a general framework for studying the asymptotic properties of a two-sample conditional $ V $-statistic, which is of independent interest.