[R-pkgs] energy 1.1-0 with dcov

Maria Rizzo mrizzo at bgnet.bgsu.edu
Wed Apr 9 03:04:01 CEST 2008

Dear R-users,

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

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