ghcm
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Software:114571
Functional Conditional Independence Testing with the GHCM
Anton Rask Lundborg, Jonas Peters, Rajen D. Shah
Last update: 2 November 2023
Copyright license: MIT license, File License
Software version identifier: 3.0.0, 1.0.0, 2.0.0, 3.0.1
A statistical hypothesis test for conditional independence. Given residuals from a sufficiently powerful regression, it tests whether the covariance of the residuals is vanishing. It can be applied to both discretely-observed functional data and multivariate data. Details of the method can be found in Anton Rask Lundborg, Rajen D. Shah and Jonas Peters (2022) <doi:10.1111/rssb.12544>.
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