weightedGCM (Q118263)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Weighted Generalised Covariance Measure Conditional Independence Test
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | weightedGCM |
Weighted Generalised Covariance Measure Conditional Independence Test |
Statements
4 September 2026
0 references
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>.
0 references
