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.


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Reference manual

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install.packages("dCovTS")

1.1 by Maria Pitsillou, 3 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