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) .


Reference manual

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0.1.0 by Jonas Peters, 2 years 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

Imported by weightedGCM.

Suggested by ghcm.

See at CRAN