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.

Package details

AuthorMaria Pitsillou [aut, cre], Konstantinos Fokianos [aut]
MaintainerMaria Pitsillou <pitsillou.maria@ucy.ac.cy>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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dCovTS documentation built on May 2, 2019, 1:30 p.m.