VecDep

MaRDI QIDQ7386521CRANFDO

Authors Steven De Keyser

Last update 14 November 2024

Copyright license GNU General Public License, version 3.0

Software version identifier 0.1.3

Description

Provides functions for estimation (parametric, semi-parametric and non-parametric) of copula-based dependence coefficients between a finite collection of random vectors, including phi-dependence measures and Bures-Wasserstein dependence measures. An algorithm for agglomerative hierarchical variable clustering is also implemented. Following the articles De Keyser & Gijbels (2024) <doi:10.1016/j.jmva.2024.105336>, De Keyser & Gijbels (2024) <doi:10.1016/j.ijar.2023.109090>, and De Keyser & Gijbels (2024) <doi:10.48550/arXiv.2404.07141>.

Cites work

• Hierarchical variable clustering via copula-based divergence measures between random vectors
• Parametric dependence between random vectors via copula-based divergence measures

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