6739d8df16b5bce3587ca5f18662a6aa-Supplemental-Conference.pdf

Here we provide proofs of the statements made in the main text as well as further figures of numerical experiments and a more detailed discussion of heteroskedasticity effects regarding causal discovery. Let (Xi,Yi)i=1,...,n be an independent sample with Pearson correlation coefficient ρ, and we assume the linear model Yi = Xiβ +h(Zi)ϵi, where Zi and ϵi are independent and standard normal, and his the noise scaling function. Z. Testing whether the Pearson correlation between X and Y is zero is equivalent to testing whether the slope parameter β is equal to zero. Therefore, this is a homoskedastic problem. A.1.2 Discussion of Effect 2: We start by discussing the homoskedastic case to see where non-constant variance of noise leads to problems within the t-test.