weightedGCM: 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" <arXiv:2111.04361>. 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" <arXiv:1804.07203>.

Version: 0.1.0
Imports: GeneralisedCovarianceMeasure, methods, mgcv, stats, xgboost
Suggests: testthat (≥ 3.0.0)
Published: 2021-11-29
Author: 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)
Maintainer: Cyrill Scheidegger <cyrill.scheidegger at stat.math.ethz.ch>
License: GPL-2
NeedsCompilation: no
Materials: README NEWS
CRAN checks: weightedGCM results

Documentation:

Reference manual: weightedGCM.pdf

Downloads:

Package source: weightedGCM_0.1.0.tar.gz
Windows binaries: r-devel: weightedGCM_0.1.0.zip, r-release: weightedGCM_0.1.0.zip, r-oldrel: weightedGCM_0.1.0.zip
macOS binaries: r-release (arm64): weightedGCM_0.1.0.tgz, r-release (x86_64): weightedGCM_0.1.0.tgz, r-oldrel: weightedGCM_0.1.0.tgz

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