RDM – Rearranged dependence measures

The R-Package RDM (rearranged dependence measures) computes the directed dependence between random variables \(X\) and \(Y\) building upon classical dependence measures such as Spearman’s \(\rho\), Kendall’s \(\tau\) or even measures of complete dependence such as Dette-Siburg-Stoimenov’s \(r\) and Chatterjee’s \(\xi\).

The rearranged dependence measure \(R_\mu\) of some underlying dependence measure \(\mu\) fulfils

1. \(R_\mu(X, Y) \in [0, 1]\),

2. \(R_\mu(X, Y) = 0\) if and only if \(X\) and \(Y\) are independent,

3. \(R_\mu(X, Y) = 1\) if and only if \(Y = f(X)\) for some (not necessarily affine or monotone) function \(f\).

Crucially, while underlying measures such as \(\rho\) or \(\tau\) are unable to precisely detect independence and functional dependence, the employed rearrangement technique improves these deficiencies of the underlying measures.

For more information on the theoretical properties of \(R_\mu\) and a discussion of the employed estimator \(\widehat{R}_\mu\), see Strothmann, Dette, and Siburg (2022) and Strothmann (2021).

Installation

You can install the development version of RDM via:

# install devtools package
if (!requireNamespace("devtools", quietly = TRUE)) {
  install.packages("devtools")
}
# install package
devtools::install_github("https://github.com/ChristopherStrothmann/RDM", dependencies = TRUE)

Examples

Let us first illustrate the basic usage of the RDM-Package

library(RDM)

n <- 500
x1 <- runif(n)
X <- cbind(x1, 0.5*sin(4*pi*x1)+0.5)
plot(X, xlab="X", ylab="f(X)")

#Computes R_mu(X, Y) using Spearman's rho as the underlying measure 
#and a fixed bandwidth 500^(0.5) of the underlying copula estimator
rdm(X, method="spearman", bandwidth_method="fixed", bandwidth_parameter = 0.5)
#> [1] 0.9811719

#Comparison to the Spearman's rho
cor(X[, 1], X[, 2], method="spearman")
#> [1] -0.3248678

#Computes R_mu(X, Y) using all implemented underlying measures
results <- rdm(X, method="all", bandwidth_method="fixed", bandwidth_parameter = 0.5)
#Value for Spearman's rho
results$spearman
#> [1] 0.9811719
#Value for Kendall's tau
results$kendall
#> [1] 0.8719117
#Value for Blum-Kiefer-Rosenblatt R (or Schweizer-Wolff sigma_2)
results$bkr
#> [1] 0.9768168
#Value for Dette-Siburg-Stoimenov r (or Chatterjee's xi)
results$dss
#> [1] 0.8237094
#Value for Trutschnig's zeta_1
results$zeta1
#> [1] 0.9039916

Please note that the choice of bandwidth \(s \in (0, 0.5)\) is crucial for the speed of convergence towards the true value \(R_\mu(X, Y)\). Generally speaking, smaller values of \(s\) are more advantageous in case of “almost independent” random variables \(X\) and \(Y\), whereas larger values of \(s\) improve the convergence rate for dependent random variables \(X\) and \(Y\). The RDM-Package provides a cross-validation approach for the bandwidth choice:

library(RDM)

n <- 500
x1 <- runif(n)
X <- cbind(x1, 0.5*sin(4*pi*x1)+0.5)

#Use a cross-validation principle to determine appropriate bandwidth choices
rdm(X, method="spearman", bandwidth_method="cv", bandwidth_parameter = c(0.25, 0.5))
#> [1] 0.975702

References

Copyright

This package uses a modified version of code.cpp from the R-package “qad”, version 1.0.4, available under the GPL-2 license at https://cran.r-project.org/package=qad. For more information see the file “DESCRIPTION” and for a list of incorporated changes, please refer to src/code.cpp.