TauStar: Efficient Computation and Testing of the Bergsma-Dassios Sign Covariance
Luca Weihs · 2015
Computes the t* statistic corresponding to the tau* population coefficient introduced by Bergsma and Dassios (2014) and does so in O(n^2) time following the algorithm of Heller and Heller (2016) building off of the work of Weihs, Drton, and Leung (2016) . Also allows for independence testing using the asymptotic distribution of t* as described by Nandy, Weihs, and Drton (2016) .