R Package depcoeff

R Package depcoeff


Functions to compute coefficients measuring the dependence of two or more than two variables. The functions can be deployed to gain information about functional dependencies of the variables with emphasis on monotone functions. The statistics describe how well one response variable can be approximated by a monotone function of other variables. In regression analysis the variable selection is an important issue. In this framework the functions could be useful tools in modeling the regression function. Detailed explanations on the subject can be found in the following papers:
Liebscher, E.: Copula-based dependence measures. Dependence Modeling 2 (2014), 49–64
Liebscher, E.: Copula-based dependence measures for piecewise monotonicity. Dependence Modeling 5 (2017), 198-220.
Liebscher, E.: Kendall regression coefficient. submitted


  • kendr   Kendall regression coefficient
  • kendrs   Kendall regression coefficient with splitting the domain
  • spearr   Spearman regression coefficient
  • spearrs   Spearman regression coefficient with splitting the domain
  • zetac   Evaluation of the zeta dependence coefficient (two variables, one interval) which is a generalisation of the Spearman coefficient
  • zetaci   Zeta dependence coefficient (several intervals)
  • zetapm   Zeta dependence coefficient of piecewise monotonicity

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