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weightedGCM  

Weighted Generalised Covariance Measure Conditional Independence Test
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("weightedGCM", "0.1.1")



Attach the package and use:
library("weightedGCM")
Maintained by
Cyrill Scheidegger
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-11-29
Latest Update: 2021-11-29
Description:
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>.
How to cite:
Cyrill Scheidegger (2021). weightedGCM: Weighted Generalised Covariance Measure Conditional Independence Test. R package version 0.1.1, https://cran.r-project.org/web/packages/weightedGCM. Accessed 05 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:00), 0.1.0 (2021-11-29 10:50)
Other packages that cited weightedGCM R package
View weightedGCM citation profile
Other R packages that weightedGCM depends, imports, suggests or enhances
Complete documentation for weightedGCM
Functions, R codes and Examples using the weightedGCM R package
Some associated functions: wgcm.est . wgcm.fix . 
Some associated R codes: WGCM.R . trainFunctions.R . utils.R .  Full weightedGCM package functions and examples
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