bias corrected distance correlation
function [bcR, p, T, df] = bcdistcorr(x, y)
BCDISTCORR computes the bias corrected distance correlation
[BCR,P,T,DF] = BCDISTCORR(X,Y), where X (size n-by-p) and Y (size n-by-q) are n random samples of observation. The function returns the bias corrected distance correlation BCR and the corresponding p-value P, as well as the student t statistics T and its degree of freedom DF. Note that the The t-test of independence is unbiased for every n ≥ 4 and any significance level.
This implementation is based on Székely, G. J., & Rizzo, M. L. (2013). The distance correlation t-test of independence in high dimension. Journal of Multivariate Analysis, 117, 193-213.
Author: Po-He Tseng (pohetsn@gmail.com)
p.s. The code should work with earlier versions of Matlab.
Cite As
Po-He (2024). bias corrected distance correlation (https://www.mathworks.com/matlabcentral/fileexchange/58445-bias-corrected-distance-correlation), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
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1.0.0.0 | updated title and description |