Provides efficient implementations of weighted dependence measures
and related asymptotic tests for independence. Implemented measures are
the Pearson correlation, Spearman's rho, Kendall's tau, Blomqvist's beta, and
Hoeffding's D; see, e.g., Nelsen (2006)
R interface to the wdm C++ library, which provides efficient implementations of weighted dependence measures and related independence tests:
All measures are computed in O(n log n) time, where n is the number of observations.
For a detailed description of the functionality, see the API documentation.
install.packages("wdm")
# install.packages("devtools")install_submodule_git <- function(x, ...) {install_dir <- tempfile()system(paste("git clone --recursive", shQuote(x), shQuote(install_dir)))devtools::install(install_dir, ...)}install_submodule_git("https://github.com/tnagler/wdm-r")
This repo contains wdm as a submodule. For a full clone use
git clone --recurse-submodules <repo-address>
library(wdm)
x <- rnorm(100)y <- rpois(100, 1) # all but Hoeffding's D can handle tiesw <- runif(100)wdm(x, y, method = "kendall") # unweighted#> [1] -0.002378163wdm(x, y, method = "kendall", weights = w) # weighted#> [1] 0.08897884
x <- matrix(rnorm(100 * 3), 100, 3)wdm(x, method = "spearman") # unweighted#> [,1] [,2] [,3]#> [1,] 1.0000000 -0.23383138 -0.05200120#> [2,] -0.2338314 1.00000000 -0.03560756#> [3,] -0.0520012 -0.03560756 1.00000000wdm(x, method = "spearman", weights = w) # weighted#> [,1] [,2] [,3]#> [1,] 1.0000000 -0.13603502 -0.12951931#> [2,] -0.1360350 1.00000000 -0.07473239#> [3,] -0.1295193 -0.07473239 1.00000000
x <- rnorm(100)y <- rpois(100, 1) # all but Hoeffding's D can handle tiesw <- runif(100)indep_test(x, y, method = "kendall") # unweighted#> estimate statistic p_value n_eff method alternative#> 1 -0.05555546 -0.6291182 0.5292717 100 kendall two-sidedindep_test(x, y, method = "kendall", weights = w) # weighted#> estimate statistic p_value n_eff method alternative#> 1 -0.09298105 -0.9139628 0.3607364 75.5839 kendall two-sided
BUG FIX
normalCDF()
to avoid multiple definition errors when LinkingTo
wdm.