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("dccpp")# install.packages("remotes")
remotes::install_github("BerriJ/dccpp")dcov(x, y) # To calculate the distance covariance
dcor(x, y) # To calculate the distance correlationFeel 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.