Minimax Optimal Conditional Independence Testing
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We consider the problem of conditional independence testing of X and Y given Z where X,Y and Z are three real random variables and Z is continuous. We focus on two main cases – when X and Y are both discrete, and when X and Y are both continuous. In view of recent results on conditional independence testing (Shah and Peters 2018), one cannot hope to design non-trivial tests, which control the type I error for all absolutely continuous conditionally independent distributions, while still ensuring power against interesting alternatives. Consequently, we identify various, natural smoothness assumptions on the conditional distributions of X,Y|Z=z as z varies in the support of Z, and study the hardness of conditional independence testing under these smoothness assumptions. We derive matching lower and upper bounds on the critical radius of separation between the null and alternative hypotheses in the total variation metric. The tests we consider are easily implementable and rely on binning the support of the continuous variable Z. To complement these results, we provide a new proof of the hardness result of Shah and Peters and show that in the absence of smoothness assumptions conditional independence testing remains difficult even when X,Y are discrete variables of finite (and not scaling with the sample-size) support.
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