Tests of Independence and Analysis of Dependence Between Point
Processes in Time
It provides a general framework to analyse dependence between point processes in time. It includes parametric and non-parametric tests to study independence,  and functions for generating and analysing  different types of dependence.

Nonparametric Independence Tests Based on Entropy Estimation
Thomas B. Berrett <t.berrett@statslab.cam.ac.uk> [aut], Daniel J. Grose <dan.grose@lancaster.ac.uk> [cre,ctb], Richard J. Samworth <r.samworth@statslab.cam.ac.uk> [aut]
Implementations of the weighted Kozachenko-Leonenko entropy estimator and independence tests based on this estimator, (Kozachenko and Leonenko (1987) <http://mi.mathnet.ru/eng/ppi797>). Also includes a goodness-of-fit test for a linear model which is an independence test between covariates and errors.

Nonparametric tests of independence between random vectors.
P Lafaye de Micheaux <lafaye@dms.umontreal.ca>, M Bilodeau
<bilodeau@dms.umontreal.ca>
Functions for testing mutual independence between many
numerical random vectors or serial independence of a
multivariate stationary sequence. The proposed test works when
some or all of the marginal distributions are singular with
respect to Lebesgue measure.

Non-Parametric Tests of Independence Between Random Vectors
Pierre Lafaye De Micheaux [aut, cre],
Martin Bilodeau [aut],
Yanan Fan [aut],
Spiridon Penev [aut],
Donna Salopek [aut],
Cleve Moler [cph] (LAPACK/BLAS routines in src),
Jack Dongarra [cph] (LAPACK/BLAS routines in src),
Richard Hanson [cph] (LAPACK/BLAS routines in src),
Sven Hammarling [cph] (LAPACK/BLAS routines in src),
Jeremy Du Croz [cph] (LAPACK/BLAS routines in src)
c(person("Pierre", "Lafaye De Micheaux", role = c("aut", "cre"),
email = "lafaye@unsw.edu.au"),
person("Martin", "Bilodeau", role = c("aut"),
email = "bilodeau@dms.umontreal.ca"),
person("Yanan", "Fan", role = c("aut"),
email = "y.fan@unsw.edu.au"),
person("Spiridon", "Penev", role = c("aut"),
email = "s.penev@unsw.edu.au"),
person("Donna", "Salopek", role = c("aut"),
email = "dm.salopek@unsw.edu.au"),
person("Cleve", "Moler", role = "cph",
comment = "LAPACK/BLAS routines in src"),
person("Jack", "Dongarra", role = "cph",
comment = "LAPACK/BLAS routines in src"),
person("Richard", "Hanson", role = "cph",
comment = "LAPACK/BLAS routines in src"),
person("Sven", "Hammarling", role = "cph",
comment = "LAPACK/BLAS routines in src"),
person("Jeremy", "Du Croz", role = "cph",
comment = "LAPACK/BLAS routines in src"))
Functions for non-parametric tests of independence (mutual or serial) between some quantitative random vectors.
R (>= 2.3.0), xtable, CompQuadForm, MASS, Runuran, parallel