Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time series. Both versions of biased and unbiased estimators of distance covariance and correlation are provided. Test statistics for testing pairwise independence are also implemented. Some data sets are also included.

Documentation

Manual: dCovTS.pdf
Vignette: None available.

Maintainer: Maria Pitsillou <pitsillou.maria at ucy.ac.cy>

Author(s): Maria Pitsillou*, Konstantinos Fokianos*

Install package and any missing dependencies by running this line in your R console:

install.packages("dCovTS")

Depends R (>= 3.1.0), doParallel(>=1.0.8), energy(>=1.5.0)
Imports foreach
Suggests MASS
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Package dCovTS
Materials
URL
Task Views TimeSeries
Version 1.1
Published 2016-09-21
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks dCovTS check results
Package source dCovTS_1.1.tar.gz