Package: weightedGCM 0.1.0

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>.

Authors:Cyrill Scheidegger [aut, cre], Julia Hoerrmann [ths], Peter Buehlmann [ths], Jonas Peters [ctb, cph], Rajen D. Shah [ctb, cph]

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weightedGCM.pdf |weightedGCM.html
weightedGCM/json (API)
NEWS

# Install 'weightedGCM' in R:
install.packages('weightedGCM', repos = c('https://cyrillsch.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.70 score 1 stars 5 scripts 198 downloads 2 exports 10 dependencies

Last updated 3 years agofrom:1bc8c0dcee. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 17 2024
R-4.5-winOKNov 17 2024
R-4.5-linuxOKNov 17 2024
R-4.4-winOKNov 17 2024
R-4.4-macOKNov 17 2024
R-4.3-winOKNov 17 2024
R-4.3-macOKNov 17 2024

Exports:wgcm.estwgcm.fix

Dependencies:CVSTdata.tableGeneralisedCovarianceMeasurejsonlitekernlablatticeMatrixmgcvnlmexgboost