dcov: Distance covariance

In dcov: A Fast Implementation of Distance Covariance

Description

This method implements the method to compute the value of distance covariance proposed by Székely et al.(2007) and Székely and Rizzo(2013) by Armadillo library. For distance covariance between two one dimensional variables, the fast algorithm proposed by Huo and Székely(2016) is used.

Usage

dcov(x, y, type = c("V", "U"))

dcor(x, y, type = c("V", "U"))

Arguments

x	the matrix of x
y	the matrix of y
type	"V" or "U", for V- or U-statistics of distance covariance or correlation. The default value is "V".

Note

Note that the result of dcov(x,y,"V") and dcor(x,y,"V") is same with the result of energy::dcov(x,y)^2 and energy::dcor(x,y)^2. The result of dcov(x,y,'U') and dcor(x,y,'U') is same with the result of energy::dcovU(x,y) and energy::bcdcor(x,y).

References

Székely, G. J., Rizzo, M. L., & Bakirov, N. K. (2007). Measuring and testing dependence by correlation of distances. The annals of statistics, 35(6), 2769-2794.

Székely, G. J., & Rizzo, M. L. (2013). The distance correlation t-test of independence in high dimension. Journal of Multivariate Analysis, 117, 193-213.

Huo, X., & Székely, G. J. (2016). Fast computing for distance covariance. Technometrics, 58(4), 435-447.

See Also

dcov2d

Examples

x = matrix(rnorm(200),100,2)
y = matrix(rnorm(200),100,2)
dcov(x,y)
dcor(x,y)

dcov documentation built on July 1, 2020, 6:20 p.m.