dcor._dcor

Distance correlation and covariance.

This module contains functions to compute statistics related to the distance covariance and distance correlation [BSRB07].

References

BCH19

Arin Chaudhuri and Wenhao Hu. A fast algorithm for computing distance correlation. Computational Statistics & Data Analysis, 135:15–24, July 2019. doi:10.1016/j.csda.2019.01.016.

BHS16

Xiaoming Huo and Gábor J. Székely. Fast computing for distance covariance. Technometrics, 58(4):435–447, 2016. URL: http://dx.doi.org/10.1080/00401706.2015.1054435, arXiv:http://dx.doi.org/10.1080/00401706.2015.1054435, doi:10.1080/00401706.2015.1054435.

BSRB07

Gábor J. Székely, Maria L. Rizzo, and Nail K. Bakirov. Measuring and testing dependence by correlation of distances. The Annals of Statistics, 35(6):2769–2794, 12 2007. URL: http://dx.doi.org/10.1214/009053607000000505, doi:10.1214/009053607000000505.

Functions

distance_correlation(x, y, *[, exponent, ...])

Usual (biased) estimator for the distance correlation.

distance_correlation_af_inv(x, y[, method, ...])

Affinely invariant distance correlation.

distance_correlation_af_inv_sqr(x, y[, ...])

Square of the affinely invariant distance correlation.

distance_correlation_sqr(x, y, *[, ...])

Usual (biased) estimator for the squared distance correlation.

distance_covariance(x, y, *[, exponent, ...])

Usual (biased) estimator for the distance covariance.

distance_covariance_sqr(x, y, *[, exponent, ...])

Usual (biased) estimator for the squared distance covariance.

distance_stats(x, y, *[, exponent, method, ...])

Usual (biased) statistics related with the distance covariance.

distance_stats_sqr(x, y, *[, exponent, ...])

Usual (biased) statistics related with the squared distance covariance.

u_distance_correlation_sqr(x, y, *[, ...])

Bias-corrected estimator for the squared distance correlation.

u_distance_covariance_sqr(x, y, *[, ...])

Unbiased estimator for the squared distance covariance.

u_distance_stats_sqr(x, y, *[, exponent, ...])

Unbiased statistics related with the squared distance covariance.

Classes

DCovFunction()

Callback protocol for centering method.

DistanceCovarianceMethod(value)

Method used for computing the distance covariance.

Stats(covariance_xy, correlation_xy, ...)

Distance covariance related stats.