energy (version 1.7-12)

dcov2d: Fast dCor and dCov for bivariate data only

Description

For bivariate data only, these are fast O(n log n) implementations of distance correlation and distance covariance statistics. The U-statistic for dcov^2 is unbiased; the V-statistic is the original definition in SRB 2007. These algorithms do not store the distance matrices, so they are suitable for large samples.

Usage

dcor2d(x, y, type = c("V", "U"))
dcov2d(x, y, type = c("V", "U"), all.stats = FALSE)

Value

By default, dcov2d returns the V-statistic \(V_n = dCov_n^2(x, y)\), and if type="U", it returns the U-statistic, unbiased for \(dCov^2(X, Y)\). The argument all.stats=TRUE is used internally when the function is called from dcor2d.

By default, dcor2d returns \(dCor_n^2(x, y)\), and if type="U", it returns a bias-corrected estimator of squared dcor equivalent to bcdcor.

These functions do not store the distance matrices so they are helpful when sample size is large and the data is bivariate.

Arguments

x

numeric vector

y

numeric vector

type

"V" or "U", for V- or U-statistics

all.stats

logical

Author

Maria L. Rizzo and Gabor J. Szekely

Details

The unbiased (squared) dcov is documented in dcovU, for multivariate data in arbitrary, not necessarily equal dimensions. dcov2d and dcor2d provide a faster O(n log n) algorithm for bivariate (x, y) only (X and Y are real-valued random vectors). The O(n log n) algorithm was proposed by Huo and Szekely (2016). The algorithm is faster above a certain sample size n. It does not store the distance matrix so the sample size can be very large.

References

Huo, X. and Szekely, G.J. (2016). Fast computing for distance covariance. Technometrics, 58(4), 435-447.

Szekely, G.J. and Rizzo, M.L. (2014), Partial Distance Correlation with Methods for Dissimilarities. Annals of Statistics, Vol. 42 No. 6, 2382-2412.

Szekely, G.J., Rizzo, M.L., and Bakirov, N.K. (2007), Measuring and Testing Dependence by Correlation of Distances, Annals of Statistics, Vol. 35 No. 6, pp. 2769-2794.
tools:::Rd_expr_doi("10.1214/009053607000000505")

See Also

dcov dcov.test dcor dcor.test (multivariate statistics and permutation test)

Examples

  # \donttest{
    ## these are equivalent, but 2d is faster for n > 50
    n <- 100
    x <- rnorm(100)
    y <- rnorm(100)
    all.equal(dcov(x, y)^2, dcov2d(x, y), check.attributes = FALSE)
    all.equal(bcdcor(x, y), dcor2d(x, y, "U"), check.attributes = FALSE)

    x <- rlnorm(400)
    y <- rexp(400)
    dcov.test(x, y, R=199)    #permutation test
    dcor.test(x, y, R=199)
    # }