Covariance Measure Tests for Conditional Independence

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, ).