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GeneralisedCovarianceMeasure  

Test for Conditional Independence Based on the Generalized Covariance Measure (GCM)
View on CRAN: Click here


Download and install GeneralisedCovarianceMeasure package within the R console
Install from CRAN:
install.packages("GeneralisedCovarianceMeasure")

Install from Github:
library("remotes")
install_github("cran/GeneralisedCovarianceMeasure")

Install by package version:
library("remotes")
install_version("GeneralisedCovarianceMeasure", "0.2.0")



Attach the package and use:
library("GeneralisedCovarianceMeasure")
Maintained by
Jonas Peters
[Scholar Profile | Author Map]
First Published: 2019-08-02
Latest Update: 2022-03-24
Description:
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: The Hardness of Conditional Independence Testing and the Generalised Covariance Measure, Annals of Statistics 48(3), 1514--1538, 2020.
How to cite:
Jonas Peters (2019). GeneralisedCovarianceMeasure: Test for Conditional Independence Based on the Generalized Covariance Measure (GCM). R package version 0.2.0, https://cran.r-project.org/web/packages/GeneralisedCovarianceMeasure. Accessed 20 Feb. 2025.
Previous versions and publish date:
0.1.0 (2019-08-02 12:40)
Other packages that cited GeneralisedCovarianceMeasure R package
View GeneralisedCovarianceMeasure citation profile
Other R packages that GeneralisedCovarianceMeasure depends, imports, suggests or enhances
Complete documentation for GeneralisedCovarianceMeasure
Functions, R codes and Examples using the GeneralisedCovarianceMeasure R package
Some associated functions: GeneralisedCovarianceMeasure . comp.resids . gcm.test . 
Some associated R codes: GeneralisedCovarianceMeasure.R . gcm-utils.R . gcm.R .  Full GeneralisedCovarianceMeasure package functions and examples
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