GeneralisedCovarianceMeasure

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Test for Conditional Independence Based on the Generalized Covariance Measure (GCM)

Jonas Peters

Last update: 24 March 2022

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.2.0

Source code repository: https://github.com/cran/GeneralisedCovarianceMeasure

Described by source

• The Hardness of Conditional Independence Testing and the Generalised Covariance Measure

Cited In (11)

• Minimax optimal conditional independence testing
• Impossible inference in econometrics: theory and applications
• Extending greedy feature selection algorithms to multiple solutions
• The Holdout Randomization Test for Feature Selection in Black Box Models
• Asymptotic distributions of high-dimensional distance correlation inference
• Comment: Statistical inference from a predictive perspective
• Testing conditional independence in supervised learning algorithms
• weightedGCM
• Optimal rates for independence testing via $U$-statistic permutation tests
• Comment: Reflections on the Deconfounder
• Rejoinder: Models as approximations

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