dcor.ttest(x, y, distance=FALSE)
dcor.t(x, y, distance=FALSE)
bcdcor(x, y, distance=FALSE)
dcor.t
returns the t statistic, bcdcor
returns the
bias corrected dcor statistic, and
dcor.ttest
returns a list with class htest
containing
dcor.ttest
performs a nonparametric t-test of
multivariate independence in high dimension (dimension is close to
or larger than sample size). The distribution of
the test statistic is approximately Student t with $n(n-3)/2-1$
degrees of freedom and for $n \geq 10$ the statistic is approximately
distributed as standard normal.
dcor.t
returns the t statistic and bcdcor
returns
the bias corrected distance correlation statistic.
The sample sizes (number of rows) of the two samples must
agree, and samples must not contain missing values. Arguments
x
, y
can optionally be dist
objects
or distance matrices (in this case set distance=TRUE
).
The t statistic is a transformation of a bias corrected version of distance
correlation (see SR 2013 for details).
Large values (upper tail) of the t statistic are significant.
Szekely, G.J., Rizzo, M.L., and Bakirov, N.K. (2007), Measuring and Testing Dependence by Correlation of Distances, Annals of Statistics, Vol. 35 No. 6, pp. 2769-2794. http://dx.doi.org/10.1214/009053607000000505
Szekely, G.J. and Rizzo, M.L. (2009), Brownian Distance Covariance, Annals of Applied Statistics, Vol. 3, No. 4, 1236-1265. http://dx.doi.org/10.1214/09-AOAS312
dcov.test
dcor
DCOR
x <- matrix(rnorm(100), 10, 10)
y <- matrix(runif(100), 10, 10)
dx <- dist(x)
dy <- dist(y)
dcor.t(x, y)
bcdcor(dx, dy, distance=TRUE)
dcor.ttest(x, y)
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