dCovTS: Distance Covariance and Correlation for Time Series Analysis

Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time series. Both versions of biased and unbiased estimators of distance covariance and correlation are provided. Test statistics for testing pairwise independence are also implemented. Some data sets are also included.

AuthorMaria Pitsillou [aut, cre], Konstantinos Fokianos [aut]
Date of publication2016-09-21 19:27:35
MaintainerMaria Pitsillou <pitsillou.maria@ucy.ac.cy>
LicenseGPL (>= 2)

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