ANM, lack of Gamma in "Gamma HSIC" about causaldiscoverytoolbox HOT 4 OPEN

For future reference: this test essentially compares the test statistics m*HSIC_b, it is called in this way not because the Gamma approximation is used, but because the gamma approximation is used on the same quantity (m*HSIC_b) in the reference paper.

from causaldiscoverytoolbox.

Hi,
You are correct: Only the test statistic is computed, and not the p-value. (ref: authors' code here: http://web.math.ku.dk/~peters/code.html). We might want to include the p-value computation, at least for information for users.

Feel free to make a pull request ; it might take some time before I could look into it.
Best regards,
Diviyan

from causaldiscoverytoolbox.

Hi,
I am a little bit busy atm, however I can point to two possible sources for an easy implementation:

• a python copy of the original Gretton et al. matlab code, this uses numpy and vectorises on cpu only.
• my pytorch (gpu compatible) update this however resorts to scipy for the inverse cdf, so while most of the computations can be performed on gpu, there's a limitation there. Also I have a nonstandard way to specify kernels, but that can be changed easily!

from causaldiscoverytoolbox.

Hi,
Thanks ! I'll look into it
Best regards,
Diviyan

from causaldiscoverytoolbox.