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VecDep  

Measuring Copula-Based Dependence Between Random Vectors
View on CRAN: Click here


Download and install VecDep package within the R console
Install from CRAN:
install.packages("VecDep")

Install from Github:
library("remotes")
install_github("cran/VecDep")

Install by package version:
library("remotes")
install_version("VecDep", "0.1.3")



Attach the package and use:
library("VecDep")
Maintained by
Steven De Keyser
[Scholar Profile | Author Map]
First Published: 2024-11-14
Latest Update: 2024-11-14
Description:
Provides functions for estimation (parametric, semi-parametric and non-parametric) of copula-based dependence coefficients between a finite collection of random vectors, including phi-dependence measures and Bures-Wasserstein dependence measures. An algorithm for agglomerative hierarchical variable clustering is also implemented. Following the articles De Keyser & Gijbels (2024) <doi:10.1016/j.jmva.2024.105336>, De Keyser & Gijbels (2024) <doi:10.1016/j.ijar.2023.109090>, and De Keyser & Gijbels (2024) <doi:10.48550/arXiv.2404.07141>.
How to cite:
Steven De Keyser (2024). VecDep: Measuring Copula-Based Dependence Between Random Vectors. R package version 0.1.3, https://cran.r-project.org/web/packages/VecDep. Accessed 19 Feb. 2025.
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Complete documentation for VecDep
Functions, R codes and Examples using the VecDep R package
Full VecDep package functions and examples
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