dcor: Distance correlation

In mvcor: Correlation Coefficients for Multivariate Data

Distance correlation

Description

Distance correlation.

Usage

dcor(y, x, bc = FALSE)

Arguments

y	A numerical matrix.
x	A numerical matrix.
bc	Do you want the corrected distance correlation? Default value if FALSE.

Details

The distance correlation or the bias corrected distance correlation of two matrices is calculated. The latter one is used for the hypothesis test that the distance correlation is zero.).

Value

A list including:

dcov	The (bias corrected) distance covariance.
dvarX	The (bias corrected) distance variance of x.
dvarY	The (bias corrected) distance variance of Y.
dcor	The (bias corrected) distance correlation.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[e-mail]>.

References

G.J. Szekely, M.L. Rizzo and N. K. Bakirov (2007). Measuring and Testing Independence by Correlation of Distances. Annals of Statistics, 35(6): 2769–2794.

Szekely G. J. and Rizzo M. L. (2023). The energy of data and distance correlation. Chapman and Hall/CRC.

See Also

sq.correl, rv

Examples

dcor( as.matrix(iris[, 1:2]), as.matrix(iris[, 3:4]) )
dcor( as.matrix(iris[, 1:2]), as.matrix(iris[, 3:4]), bc = TRUE )

mvcor documentation built on April 11, 2025, 5:39 p.m.