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dCovTS  

Distance Covariance and Correlation for Time Series Analysis
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("dCovTS", "1.4")



Attach the package and use:
library("dCovTS")
Maintained by
Michail Tsagris
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-03-09
Latest Update: 2023-09-28
Description:
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. References include: a) Edelmann Dominic, Fokianos Konstantinos and Pitsillou Maria (2019). 'An Updated Literature Review of Distance Correlation and Its Applications to Time Series'. International Statistical Review, 87(2): 237--262. . b) Fokianos Konstantinos and Pitsillou Maria (2018). 'Testing independence for multivariate time series via the auto-distance correlation matrix'. Biometrika, 105(2): 337--352. . c) Fokianos Konstantinos and Pitsillou Maria (2017). 'Consistent testing for pairwise dependence in time series'. Technometrics, 59(2): 262--270. . d) Pitsillou Maria and Fokianos Konstantinos (2016). 'dCovTS: Distance Covariance/Correlation for Time Series'. R Journal, 8(2):324-340. .
How to cite:
Michail Tsagris (2016). dCovTS: Distance Covariance and Correlation for Time Series Analysis. R package version 1.4, https://cran.r-project.org/web/packages/dCovTS. Accessed 05 Jun. 2026.
Previous versions and publish date:
1.0 (2016-03-09 00:51), 1.1 (2016-09-21 19:27), 1.2 (2021-05-13 01:12), 1.3 (2022-06-28 00:20), 1.4 (2023-09-28 21:10)
Other packages that cited dCovTS R package
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Other R packages that dCovTS depends, imports, suggests or enhances
Complete documentation for dCovTS
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