energyDistance: Energy distance between two datasets

In changedetection: Nonparametric Change Detection in Multivariate Linear Relationships

Description

Estimate energy distance which is a metric that measures the distance between the distributions of random vectors \insertCiterizzo-szekely10changedetection. The energy distance is zero if an only if the distributions are identical, otherwise it will diverge.

Usage

energyDistance(x1, y1, x2, y2, l = NULL, alpha = 1)

Arguments

x1	matrix of first period regressors with variables in columns and observations in rows
y1	matrix of first period responses with variables in columns and observations in rows
x2	matrix of second period regressors with variables in columns and observations in rows
y2	matrix of second period responses with variables in columns and observations in rows
l	approximate number of contributing variables (default: overall number of regressors)
alpha	parameter for energy distance formula (default: '1')

Value

energy distance value

References

\insertAllCited

Examples

T<-60
change<-35
x<-rnorm(n=T, m=0, sd=1)
e<-scale(rt(n=T,3), scale=FALSE)
y1<-5*x[1:(change-1)]+e[1:(change-1)]
y2<--2*x[change:T]+e[change:T]
y<-c(y1,y2)

ed <- energyDistance(x1=as.data.frame(x[1:30]),
                     y1=as.data.frame(y[1:30]),
                     x2=as.data.frame(x[31:T]),
                     y2=as.data.frame(y[31:T]))

changedetection documentation built on June 17, 2019, 5:03 p.m.