Distance Covariance and Correlation for Time Series Analysis

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.


Reference manual

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1.1 by Maria Pitsillou, 2 years ago

Browse source code at https://github.com/cran/dCovTS

Authors: Maria Pitsillou [aut, cre] , Konstantinos Fokianos [aut]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports foreach

Depends on doParallel, energy

Suggests MASS

See at CRAN