[R-pkgs] energy 1.1-0 with dcov

From: Maria Rizzo <mrizzo_at_bgnet.bgsu.edu>
Date: Tue, 08 Apr 2008 21:04:01 -0400


Dear R-users,

An updated version of the energy package, energy 1.1-0, is now available on CRAN. 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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