[R-pkgs] energy 1.1-0 with dcov
mrizzo at bgnet.bgsu.edu
Wed Apr 9 03:04:01 CEST 2008
An updated version of the energy package, energy 1.1-0, is now available on
This version has merged the dcov package (previously available from my
personal web page) into energy.
New functions include:
dcov (distance covariance)
dcor (distance correlation)
DCOR (four statistics)
dcov.test (distance covariance test of multivariate independence)
indep.test (choice of nonparametric energy tests of multivariate independence)
These functions implement the new methods introduced in our recent article:
G. J. Szekely, M. L. Rizzo and N. K. Bakirov (2007) Measuring and Testing
Independence by Correlation of Distances, Annals of Statistics, Vol. 35 No.
6, pp. 2769-2794.
Distance correlation R is a scalar statistic for measuring and testing
independence of random vectors. It satisfies 0<=R<=1 and R=0 only if
independence holds. Distance covariance V determines a statistically
consistent test of independence.
The distance covariance test is theoretically related to, but different
from the original test based on coefficient I_n implemented in indep.etest.
The new dcov.test is faster by a factor O(n) than indep.etest.
With the introduction of a second and faster test, we provide a new
function indep.test with a choice of methods to obtain either test. The
original indep.etest is now deprecated.
Reprints of the article are available upon request.
Comments and suggestions are always welcome.
Maria Rizzo and Gabor Szekely
More information about the R-packages