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.
The CRAN release is currently under preparation.
You can install the latest stable release from GitHub using:
dcor(x, y) # To calculate the distance correlation
dcov(x, y) # To calculate the distance covariance
Feel 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.