Pavel Averin

GFCM: A Tail-Sensitive Mixed-Type Conditional Independence Test for Causal Discovery

Constraint-based causal discovery like PC and FCI depends on its conditional independence test. Partial correlation and the Generalised Covariance Measure (GCM) detect only the conditional covariance of residuals, so they miss dependence in the mean's nonlinear part, the scale, and the tails. Tests that detect more are...