wdm

Weighted Dependence Measures

Last update: 10 August 2023

Copyright license: MIT license, File License

Software version identifier: 0.2.3, 0.1.0, 0.1.1, 0.2.0, 0.2.1, 0.2.2, 0.2.4

Description

Provides efficient implementations of weighted dependence measures and related asymptotic tests for independence. Implemented measures are the Pearson correlation, Spearman's rho, Kendall's tau, Blomqvist's beta, and Hoeffding's D; see, e.g., Nelsen (2006) <doi:10.1007/0-387-28678-0> and Hollander et al. (2015, ISBN:9780470387375).

Cites work

An Introduction to Copulas

Cited In (6)

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