mdd_U: Unbiased martingale difference divergence statistics

In jeffjyan/MDD: Conditional Mean Independence Testing via Martingale Difference Divergence

Description

Unbiased estimate of squared martingale difference divergence and bias-corrected estimate of squared martingale difference correlation

Usage

mdd_U(X, Y)

Arguments

X	distances or data of first sample
Y	distances or data of second sample

Value

mdd_U returns a list containing

• MDD_sq_U: unbiased estimate of squared martingale difference divergence

• MDC_sq_U: bias-corrected estimate of squared martingale difference correlation

References

Park, Trevor, Xiaofeng Shao, and Shun Yao. "Partial martingale difference correlation." Electronic Journal of Statistics 9.1 (2015): 1492-1517.

Examples

A <- iris[1:50, 1:2]
B <- iris[1:50, 3:4]
mdd_U(A, B)

jeffjyan/MDD documentation built on Dec. 9, 2019, 12:16 a.m.