VecDep

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.

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