Test for Conditional Independence Based on the Generalized Covariance Measure (GCM)

A statistical hypothesis test for conditional independence. It performs nonlinear regressions on the conditioning variable and then tests for a vanishing covariance between the resulting residuals. It can be applied to both univariate random variables and multivariate random vectors. Details of the method can be found in Rajen D. Shah and Jonas Peters (2018) .


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install.packages("GeneralisedCovarianceMeasure")

0.1.0 by Jonas Peters, a year ago


Browse source code at https://github.com/cran/GeneralisedCovarianceMeasure


Authors: Jonas Peters and Rajen D. Shah


Documentation:   PDF Manual  


GPL-2 license


Imports CVST, graphics, kernlab, mgcv, stats, xgboost


See at CRAN