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CRANcometsMaRDI QIDQ5976493FDOQ5976493

Covariance Measure Tests for Conditional Independence

Lucas Kook

Last update: 26 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.0-1

Description

Covariance measure tests for conditional independence testing against conditional covariance and nonlinear conditional mean alternatives. Contains versions of the generalised covariance measure test (Shah and Peters, 2020, <doi:10.1214/19-aos1857>) and projected covariance measure test (Lundborg et al., 2023, <doi:10.48550/arXiv.2211.02039>). Applications can be found in Kook and Lundborg (2024, <doi:10.48550/arXiv.2402.14416>).

Cites work

• The Hardness of Conditional Independence Testing and the Generalised Covariance Measure
• The Projected Covariance Measure for assumption-lean variable significance testing
• Algorithm-agnostic significance testing in supervised learning with multimodal data

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