In this paper results and counterexamples are given to study the relationship between some conditions which appear in the literature on sufficiency, invariance and conditional independence. Journal ...

In many application areas, a primary focus is on assessing evidence in the data refuting the assumption of independence of Y and X conditionally on Z, with Y response variables, X predictors of ...

We demonstrate the impact of conditional correlation on an asymptotic single risk factor model within the framework of dynamic credit provisioning and stress testing. Specifically, we show the effect ...

This book offers a comprehensive framework for mastering the complexities of learning high-dimensional sparse graphical models through the use of conditional independence tests. These tests are ...

This paper proposes a portfolio risk evaluation method that assumes conditional independence. We consider some latent variables which determine the conditional distribution of the future price or the ...