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>.
| Version: | 0.1.1 |
| Imports: | methods, mgcv, stats, xgboost (≥ 3.1.2.1) |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2025-12-12 |
| DOI: | 10.32614/CRAN.package.weightedGCM |
| Author: | Cyrill Scheidegger [aut, cre, cph], Julia Hoerrmann [ths], Peter Buehlmann [ths], Jonas Peters [ctb, cph] (Parts of the code are inspired by similar functions from the R package 'GeneralisedCovarianceMeasure' by Jonas Peters and Rajen D. Shah), Rajen D. Shah [ctb, cph] (Parts of the code are inspired by similar functions from the R package 'GeneralisedCovarianceMeasure' by Jonas Peters and Rajen D. Shah) |
| Maintainer: | Cyrill Scheidegger <cyrill.scheidegger at stat.math.ethz.ch> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | weightedGCM results [issues need fixing before 2025-12-22] |
| Reference manual: | weightedGCM.html , weightedGCM.pdf |
| Package source: | weightedGCM_0.1.1.tar.gz |
| Windows binaries: | r-devel: weightedGCM_0.1.0.zip, r-release: weightedGCM_0.1.0.zip, r-oldrel: weightedGCM_0.1.0.zip |
| macOS binaries: | r-release (arm64): weightedGCM_0.1.0.tgz, r-oldrel (arm64): weightedGCM_0.1.0.tgz, r-release (x86_64): weightedGCM_0.1.0.tgz, r-oldrel (x86_64): weightedGCM_0.1.0.tgz |
| Old sources: | weightedGCM archive |
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