multivariance

Measuring Multivariate Dependence Using Distance Multivariance

Distance multivariance is a measure of dependence which can be used to detect and quantify dependence. The necessary functions are implemented in this packages, and examples are given. For the theoretic background we refer to the papers: B. Böttcher, M. Keller-Ressel, R.L. Schilling, Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. VMSTA, 2018, Vol. 5, No. 3, 353-383. <arXiv:1711.07778>. B. Böttcher, M. Keller-Ressel, R.L. Schilling, Distance multivariance: New dependence measures for random vectors. <arXiv:1711.07775>. B. Böttcher, Dependence and Dependence Structures: Estimation and Visualization Using Distance Multivariance. <arXiv:1712.06532>. G. Berschneider, B. Böttcher, On complex Gaussian random fields, Gaussian quadratic forms and sample distance multivariance. <arXiv:1808.07280>.

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Package
multivariance
Title
Measuring Multivariate Dependence Using Distance Multivariance
Version
2.0.0
Date
2019-02-04
Description
Distance multivariance is a measure of dependence which can be used to detect and quantify dependence. The necessary functions are implemented in this packages, and examples are given. For the theoretic background we refer to the papers: B. Böttcher, M. Keller-Ressel, R.L. Schilling, Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. VMSTA, 2018, Vol. 5, No. 3, 353-383. . B. Böttcher, M. Keller-Ressel, R.L. Schilling, Distance multivariance: New dependence measures for random vectors. . B. Böttcher, Dependence and Dependence Structures: Estimation and Visualization Using Distance Multivariance. . G. Berschneider, B. Böttcher, On complex Gaussian random fields, Gaussian quadratic forms and sample distance multivariance. .
Depends
R (>= 3.3.0)
License
GPL-3
Encoding
UTF-8
LazyData
true
Imports
igraph, graphics, stats, Rcpp, microbenchmark
RoxygenNote
6.1.1
Suggests
testthat
LinkingTo
Rcpp
NeedsCompilation
yes
Packaged
2019-02-06 12:44:10 UTC; BB
Author
Björn Böttcher [aut, cre], Martin Keller-Ressel [ctb]
Maintainer
Björn Böttcher
Repository
CRAN
Date/Publication
2019-02-06 13:30:06 UTC

install.packages('multivariance')

2.0.0

13 days ago

Björn Böttcher

GPL-3

Depends on

R (>= 3.3.0)

Imports

igraph, graphics, stats, Rcpp, microbenchmark

Suggests

testthat

Discussions