Fast Conditional Independence Test for Vector Variables with Large Sample Sizes

April 08, 2018 ยท Declared Dead ยท ๐Ÿ› arXiv.org

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Authors Krzysztof Chalupka, Pietro Perona, Frederick Eberhardt arXiv ID 1804.02747 Category stat.ML: Machine Learning (Stat) Cross-listed cs.AI, cs.LG, stat.OT Citations 36 Venue arXiv.org Last Checked 6 months ago
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.
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