total.multivariance {multivariance} | R Documentation |
total distance multivariance
Description
computes the total distance multivariance
Usage
total.multivariance(
x,
vec = NA,
lambda = 1,
Nscale = TRUE,
Escale = TRUE,
squared = TRUE,
...
)
Arguments
x |
either a data matrix or a list of doubly centered distance matrices |
vec |
if x is a matrix, then this indicates which columns are treated together as one sample; if x is a list, these are the indexes for which the multivariance is calculated. The default is all columns and all indexes, respectively. |
lambda |
a scaling parameter >0. Each k-tuple multivariance gets weight |
Nscale |
if |
Escale |
if |
squared |
if |
... |
these are passed to |
Details
Total distance multivariance is per definition the scaled sum of certain distance multivariances, and it characterize dependence.
As a rough guide to interpret the value of total distance multivariance note:
Large values indicate dependence.
For
Nscale = TRUE
values close to 1 and smaller indicate independence, larger values indicate dependence. In fact, in the case of independence the test statistic is a Gaussian quadratic form with expectation 1 and samples of it can be generated byresample.multivariance
.For
Nscale = FALSE
small values (close to 0) indicate independence, larger values indicate dependence.
Finally note, that due to numerical (in)precision the value of total multivariance might become negative. In these cases it is set to 0. A warning is issued, if the value is negative and further than the usual (used by all.equal
) tolerance away from 0.
References
For the theoretic background see the references given on the main help page of this package: multivariance-package.
Examples
x = matrix(rnorm(100*3),ncol = 3)
total.multivariance(x) #for an independent sample
# the value coincides with
(multivariance(x[,c(1,2)],Nscale = TRUE) + multivariance(x[,c(1,3)],Nscale = TRUE)+
multivariance(x[,c(2,3)],Nscale = TRUE) + multivariance(x,Nscale = TRUE))/4
total.multivariance(coins(100)) #value for a dependent sample which is 2-independent