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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" <doi:10.48550/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" <doi:10.48550/arXiv.1804.07203>.
| Version: | 0.1.0 |
| Imports: | GeneralisedCovarianceMeasure, methods, mgcv, stats, xgboost |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2021-11-29 |
| DOI: | 10.32614/CRAN.package.weightedGCM |
| 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 |
| Reference manual: | weightedGCM.pdf |
| 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-oldrel (arm64): weightedGCM_0.1.0.tgz, r-release (x86_64): weightedGCM_0.1.0.tgz, r-oldrel (x86_64): weightedGCM_0.1.0.tgz |
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These binaries (installable software) and packages are in development.
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