dccpp

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Fast Computation of Distance Correlations

Jonathan Berrisch

Last update: 27 September 2023

Copyright license: GNU General Public License

Software version identifier: 0.0.2, 0.1.0

Description

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:1810.11332> <doi:10.1016/j.csda.2019.01.016>). The functions are written entirely in C++ to speed up the computation.

Cites work

• A fast algorithm for computing distance correlation
• A fast algorithm for computing distance correlation

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