Covariance Measure Tests for Conditional Independence
Description
Covariance measure tests for conditional independence testing
against conditional covariance and nonlinear conditional mean alternatives.
The package implements versions of the generalised covariance measure test
(Shah and Peters, 2020, ) and projected covariance
measure test (Lundborg et al., 2023, ). The
tram-GCM test, for censored responses, is implemented including the Cox
model and survival forests (Kook et al., 2024,
). Application examples to variable
significance testing and modality selection can be found in Kook and
Lundborg (2024, ).