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

CMDMeasure: A package for conditional mean dependence measures via energy statistics

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

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

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.

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