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Efficient estimation of measures of functional dependence
arXiv stat.TH0 views
arXiv:2610.25421v1 Announce Type: new Abstract: Measures of functional dependence that characterize both independence and perfect dependence have attracted growing interest. Despite their appealing theoretical properties, existing rank- and graph-based estimators can suffer from substantial bias under general dependence, limiting their usefulness for statistical inference. Moreover, a systematic and practically accessible framework for mitigating such bias while achieving semiparametric efficiency remains largely unavailable. In this paper, we develop a general framework for efficient estimation of measures of functional dependence through sample-splitting and cross-fitting. Our approach enables systematic bias reduction and semiparametrically efficient inference, and thus offers a flexible and theoretically grounded alternative to existing rank- and graph-based methods.
Source:https://arxiv.org/abs/2610.25421PreviousConventional Inference under Nonstationary Heavy Tailed Fractional Processes & ArraysNextOptimal Priors for Betting Tests with Bounded Payoffs: An Exact Efficiency Characterization
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