Fast computation of the distance covariance dcov
and distance correlation dcor
. The computation cost is only O(n log(n)) for the distance correlation (see Chaudhuri, Hu, 2019, arXiv, elsevier). The functions are written entirely in C++ to speed up the computation.
install.packages("dccpp")
# install.packages("remotes")
remotes::install_github("BerriJ/dccpp")
dcov(x, y) # To calculate the distance covariance
dcor(x, y) # To calculate the distance correlation
Feel free to raise an issue if you find something not working properly.
You are also very welcome to contribute to dcccp
. Please base your pull requests on the development branch. Note that this package focuses on performance, PR's that improve the performance are particularly welcome.
GNU General Public License (โฅ 3)