rgcm

GCM test with pre-computed residuals

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, <doi:10.1214/19-aos1857>) and projected covariance
measure test (Lundborg et al., 2023, <doi:10.1214/24-AOS2447>). The
tram-GCM test, for censored responses, is implemented including the Cox
model and survival forests (Kook et al., 2024,
<doi:10.1080/01621459.2024.2395588>). Application examples to variable
significance testing and modality selection can be found in Kook and
Lundborg (2024, <doi:10.1093/bib/bbae475>).

Lucas Kook

comets

Covariance Measure Tests for Conditional Independence

Anton Rask Lundborg

rgcm function

<dl><dt>rY</dt>
<dd>Vector or matrix of response values.</dd>
<dt>rX</dt>
<dd>Matrix or data.frame of covariates.</dd>
<dt>alternative</dt>
<dd>A character string specifying the alternative hypothesis,
must be one of <code>"two.sided"</code> (default), <code>"greater"</code> or
<code>"less"</code>. Only applies if <code>type = "quadratic"</code> and <code>Y</code> and
<code>X</code> are one-dimensional.</dd>
<dt>type</dt>
<dd>Type of test statistic, either <code>"quadratic"</code> (default) or
<code>"max"</code>. If <code>"max"</code> is specified, the p-value is computed
based on a bootstrap approximation of the null distribution with
<code>B</code> samples.</dd>
<dt>...</dt>
<dd>Further arguments passed to <code>independence_test()</code>.</dd></dl>

Arguments

GCM test with pre-computed residuals — rgcm

<dl>

<dt>rY</dt>
<dd>Vector or matrix of response values.</dd>


<dt>rX</dt>
<dd>Matrix or data.frame of covariates.</dd>


<dt>alternative</dt>
<dd>A character string specifying the alternative hypothesis,
must be one of <code>"two.sided"</code> (default), <code>"greater"</code> or
<code>"less"</code>. Only applies if <code>type = "quadratic"</code> and <code>Y</code> and
<code>X</code> are one-dimensional.</dd>


<dt>type</dt>
<dd>Type of test statistic, either <code>"quadratic"</code> (default) or
<code>"max"</code>. If <code>"max"</code> is specified, the p-value is computed
based on a bootstrap approximation of the null distribution with
<code>B</code> samples.</dd>


<dt>...</dt>
<dd>Further arguments passed to <code>independence_test()</code>.</dd>

</dl>

rgcm: GCM test with pre-computed residuals

Description

Usage

Value

Arguments