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
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Usual (biased) estimator for the distance correlation. |
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Affinely invariant distance correlation. |
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Square of the affinely invariant distance correlation. |
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Usual (biased) estimator for the squared distance correlation. |
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Usual (biased) estimator for the distance covariance. |
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Usual (biased) estimator for the squared distance covariance. |
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Usual (biased) statistics related with the distance covariance. |
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Usual (biased) statistics related with the squared distance covariance. |
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Bias-corrected estimator for the squared distance correlation. |
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Unbiased estimator for the squared distance covariance. |
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Unbiased statistics related with the squared distance covariance. |
Classes
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Callback protocol for centering method. |
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Method used for computing the distance covariance. |
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Distance covariance related stats. |