dcov (version 0.1.1)

dcov: Distance covariance

Description

This method implements the method to compute the value of distance covariance proposed by Sz<U+00E9>kely et al.(2007) and Sz<U+00E9>kely and Rizzo(2013) by Armadillo library. For distance covariance between two one dimensional variables, the fast algorithm proposed by Huo and Sz<U+00E9>kely(2016) is used.

Usage

dcov(x, y, type = c("V", "U"))
dcor(x, y, type = c("V", "U"))

Arguments

x

the matrix of x

y

the matrix of y

type

"V" or "U", for V- or U-statistics of distance covariance or correlation. The default value is "V".

References

Sz<U+00E9>kely, G. J., Rizzo, M. L., & Bakirov, N. K. (2007). Measuring and testing dependence by correlation of distances. The annals of statistics, 35(6), 2769-2794.

Sz<U+00E9>kely, G. J., & Rizzo, M. L. (2013). The distance correlation t-test of independence in high dimension. Journal of Multivariate Analysis, 117, 193-213.

Huo, X., & Sz<U+00E9>kely, G. J. (2016). Fast computing for distance covariance. Technometrics, 58(4), 435-447.

See Also

dcov2d

Examples

# NOT RUN {
x = matrix(rnorm(200),100,2)
y = matrix(rnorm(200),100,2)
dcov(x,y)
dcor(x,y)

# }