r-lancor

Implementation of the methods described in Holzmann, Klar (2024) <doi:10.48550/arXiv.2303.17872>. Lancaster correlation is a correlation coefficient which equals the absolute value of the Pearson correlation for the bivariate normal distribution, and is equal to or slightly less than the maximum correlation coefficient for a variety of bivariate distributions. Rank and moment-based estimators and corresponding confidence intervals are implemented, as well as independence tests based on these statistics.