dcor version 0.5¶
Distance covariance and distance correlation are dependency measures between random vectors introduced in [ASRB07].
This package provide functions for calculating several statistics related with distance covariance and distance correlation, including biased and unbiased estimators of both dependency measures.
References¶
- ASRB07
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.
Contents:
- Installation
- Theory
- Performance
- Comparison between Python’s ‘dcor’ and R’s ‘energy’
- API List
- List of functions
- Biased estimators for distance covariance and distance correlation
- Unbiased and bias-corrected estimators for distance covariance and distance correlation
- Affinely invariant distance correlation
- Partial distance covariance and partial distance correlation
- Energy distance
- Homogeneity test
- Independence test
- Internal computations
- Compute distance matrices
- Compute the same measure between different random variables
- List of classes
- List of functions
- Internal documentation
dcor is developed on Github. Please report issues there as well.