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 correlationFeel 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.