dcov2d {dcov}

Fast distance covariance for two bivariate variables

Description

This method implements the fast algorithm proposed by Huo and Székely. The result of dcov2d and dcor2d is same with the result of energy::dcov2d and energy::dcor2d

Usage

dcov2d(x, y, type = c("V", "U"))

dcor2d(x, y, type = c("V", "U"))

Arguments

x

the vector of x

y

the vector of y

type

"V" or "U", for V- or U-statistics of distance covariance or correlation. The default value is "V".

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.

Examples

x = rnorm(200)
y = rnorm(200)
dcov2d(x,y)
dcor2d(x,y)