GeneralisedCovarianceMeasure: 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) <arXiv:1804.07203>.

Getting started

Package details

AuthorJonas Peters and Rajen D. Shah
MaintainerJonas Peters <[email protected]>
LicenseGPL-2
Version0.1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("GeneralisedCovarianceMeasure")

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GeneralisedCovarianceMeasure documentation built on Aug. 2, 2019, 5:05 p.m.