Weighted Generalised Covariance Measure Conditional Independence Test
Overview
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 (2022) "The Weighted Generalised Covariance Measure" http://jmlr.org/papers/v23/21-1328.html. 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:10.1214/19-AOS1857.
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Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-06-08
- WARNING12 OK, 1 WARNING2026-06-07
- OK14 OK2026-03-10
Documentation
- Help pages
- 2
- Examples that run
- 100%2 run in a plain check
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 100%
Downloads
Dependencies
Installing weightedGCM adds 3 packages (3 with compiled code, 8.2 MB of source tarballs). Heaviest: data.table 5.7 MB, xgboost 1.5 MB, jsonlite 1.0 MB.
Code & Tests
People & History
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- 0.1.2Latest
- RR 4.6.0 released · 2026-04-24
- 0.1.12025-12-12 · diff ↗
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- RR 4.3.0 released · 2023-04-21
- RR 4.2.0 released · 2022-04-22
- 0.1.02021-11-29
- RR 4.1.0 released · 2021-05-18
Package metadata
- First published
- 2021-11-29
- Total releases
- 3 / 5 yrs
- License
- GPL-2 OSI
- Download size
- 7.1 KB
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