README.md

In zejin/CMDMeasure: Conditional Mean Dependence Measures via Energy Statistics

CMDMeasure

Overview

CMDMeasure provides measures of conditional mean dependence and tests of conditional mean independence.

The two main parts are: - measuring conditional mean dependence - testing conditional mean independence

Measuring conditional mean dependence

The conditional mean dependence measures include: - conditional mean dependence of Y given X - martingale difference divergence - martingale difference correlation - conditional mean dependence of Y given X conditioning on Z - partial martingale difference divergence - partial martingale difference correlation

Testing conditional mean independence

The conditional mean independence tests include: - conditional mean independence of Y given X conditioning on Z - martingale difference divergence under a linear assumption - partial martingale difference divergence

The conditional mean independence tests based on the conditional mean dependence measures are implemented as permutation tests.

Installation

# Install the released version from CRAN
install.packages("CMDMeasure")

# Or the development version from GitHub:
# install.packages("devtools")
devtools::install_github("zejin/CMDMeasure")

zejin/CMDMeasure documentation built on May 28, 2019, 4:42 p.m.