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.
# install.packages("remotes") remotes::install_github("BerriJ/dccpp")
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.