Weighted Generalised Covariance Measure Conditional Independence Test

A conditional independence test that can be applied both to univariate and multivariate random variables. The test is based on a weighted form of the sample covariance of the residuals after a nonlinear regression on the conditioning variables. Details are described in Scheidegger, Hoerrmann and Buehlmann (2021) "The Weighted Generalised Covariance Measure" . The test is a generalisation of the Generalised Covariance Measure (GCM) implemented in the R package 'GeneralisedCovarianceMeasure' by Jonas Peters and Rajen D. Shah based on Shah and Peters (2020) "The Hardness of Conditional Independence Testing and the Generalised Covariance Measure" .


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install.packages("weightedGCM")

0.1.0 by Cyrill Scheidegger, 2 months ago


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


Authors: Cyrill Scheidegger [aut, cre] , Julia Hoerrmann [ths] , Peter Buehlmann [ths] , Jonas Peters [ctb, cph] (The code in 'trainFunctions.R' is copied (with small modifications) from the R package 'GeneralisedCovarianceMeasure' by Jonas Peters and Rajen D. Shah) , Rajen D. Shah [ctb, cph] (The code in 'trainFunctions.R' is copied (with small modifications) from the R package 'GeneralisedCovarianceMeasure' by Jonas Peters and Rajen D. Shah)


Documentation:   PDF Manual  


GPL-2 license


Imports GeneralisedCovarianceMeasure, methods, mgcv, stats, xgboost

Suggests testthat


See at CRAN