Computing the Bergsma Dassios sign-covariance

Abstract

Bergsma and Dassios (2014) introduced an independence measure which is zero if and only if two random variables are independent. This measure can be naively calculated in $O(n^4)$. Weihs et al. (2015) showed that it can be calculated in $O(n^2\log n)$. In this note we will show that using the methods described in Heller et al. (2016), the measure can easily be calculated in only $O(n^2)$.