GeneralisedCovarianceMeasure {GeneralisedCovarianceMeasure}

Package for testing conditional independence based on the Generalized Covariance Measure (GCM)

Description

Contains the function gcm.test that can be used for performing a conditional independence test based on the GCM.

Author(s)

Jonas Peters [e-mail], Rajen D. Shah

References

Please cite the following paper. Rajen D. Shah, Jonas Peters: "The Hardness of Conditional Independence Testing and the Generalised Covariance Measure" https://arxiv.org/abs/1804.07203