Covariance Measure Tests for Conditional Independence
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, ) and projected covariance
measure test (Lundborg et al., 2023, ).
Applications can be found in
Kook and Lundborg (2024, ).