MDMeasure-package: Mutual Dependence Measures via Energy Statistics

In zejin/MDMeasure: Mutual Dependence Measures via Energy Statistics

Description

MDMeasure: A package for mutual dependence measures via energy statistics

Details

The MDMeasure package provides measures of mutual dependence and tests of mutual independence.

Measuring mutual dependence

The mutual dependence measures include:

• asymmetric measure \mathcal{R}_n based on distance covariance \mathcal{V}_n

• symmetric measure \mathcal{S}_n based on distance covariance \mathcal{V}_n

• complete measure \mathcal{Q}_n based on complete V-statistics

• simplified complete measure \mathcal{Q}_n^\star based on incomplete V-statistics

• asymmetric measure \mathcal{J}_n based on complete measure \mathcal{Q}_n

• simplified asymmetric measure \mathcal{J}_n^\star based on simplified complete measure \mathcal{Q}_n^\star

• symmetric measure \mathcal{I}_n based on complete measure \mathcal{Q}_n

• simplified symmetric measure \mathcal{I}_n^\star based on simplified complete measure \mathcal{Q}_n^\star

Testing mutual independence

The mutual independence tests based on the mutual dependence measures are implemented as permutation tests.

Author(s)

Ze Jin [e-mail], David S. Matteson [e-mail]

zejin/MDMeasure documentation built on May 14, 2019, 10:36 p.m.