dcovU_stats: Unbiased distance covariance statistics

In energy: E-Statistics: Multivariate Inference via the Energy of Data

Unbiased distance covariance statistics

Description

This function computes unbiased estimators of squared distance covariance, distance variance, and a bias-corrected estimator of (squared) distance correlation.

Usage

dcovU_stats(Dx, Dy)

Arguments

Dx	distance matrix of first sample
Dy	distance matrix of second sample

Details

The unbiased (squared) dcov is inner product definition of dCov, in the Hilbert space of U-centered distance matrices.

The sample sizes (number of rows) of the two samples must agree, and samples must not contain missing values. The arguments must be square symmetric matrices.

Value

dcovU_stats returns a vector of the components of bias-corrected dcor: [dCovU, bcdcor, dVarXU, dVarYU].

Note

Unbiased distance covariance (SR2014) corresponds to the biased (original) \mathrm{dCov^2}. Since dcovU is an unbiased statistic, it is signed and we do not take the square root. For the original distance covariance test of independence (SRB2007, SR2009), the distance covariance test statistic is the V-statistic \mathrm{n\, dCov^2} = n \mathcal{V}_n^2 (not dCov). Similarly, bcdcor is bias-corrected, so we do not take the square root as with dCor.

Author(s)

Maria L. Rizzo [e-mail] and Gabor J. Szekely

References

Szekely, G.J. and Rizzo, M.L. (2014), Partial Distance Correlation with Methods for Dissimilarities. Annals of Statistics, Vol. 42 No. 6, 2382-2412.

Szekely, G.J., Rizzo, M.L., and Bakirov, N.K. (2007), Measuring and Testing Dependence by Correlation of Distances, Annals of Statistics, Vol. 35 No. 6, pp. 2769-2794.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/009053607000000505")}

Szekely, G.J. and Rizzo, M.L. (2009), Brownian Distance Covariance, Annals of Applied Statistics, Vol. 3, No. 4, 1236-1265.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/09-AOAS312")}

Examples

 x <- iris[1:50, 1:4]
 y <- iris[51:100, 1:4]
 Dx <- as.matrix(dist(x))
 Dy <- as.matrix(dist(y))
 dcovU_stats(Dx, Dy)
 

energy documentation built on Sept. 11, 2024, 7:57 p.m.