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VecDep: Measuring Copula-Based Dependence Between Random Vectors
Provides functions for estimation (parametric, semi-parametric and non-parametric) of copula-based dependence coefficients between a finite collection of random vectors, including phi-dependence measures and Bures-Wasserstein dependence measures. An algorithm for agglomerative hierarchical variable clustering is also implemented. Following the articles De Keyser & Gijbels (2024) <doi:10.1016/j.jmva.2024.105336>, De Keyser & Gijbels (2024) <doi:10.1016/j.ijar.2023.109090>, and De Keyser & Gijbels (2024) <doi:10.48550/arXiv.2404.07141>.
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Package details |
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| Author | Steven De Keyser [aut, cre] (<https://orcid.org/0000-0002-3469-8692>), Irène Gijbels [ctb] (<https://orcid.org/0000-0002-4443-9803>) |
| Maintainer | Steven De Keyser <steven.dekeyser@kuleuven.be> |
| License | GPL-3 |
| Version | 0.1.3 |
| URL | https://github.com/StevenDeKeyser98/VecDep |
| Package repository | View on CRAN |
| Installation |
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