Skip to main content

dcor: distance correlation and related E-statistics in Python.

Project description

E-statistics are functions of distances between statistical observations in metric spaces.

Distance covariance and distance correlation are dependency measures between random vectors introduced in [SRB07] with a simple E-statistic estimator.

This package offers functions for calculating several E-statistics such as:

  • Estimator of the energy distance [SR13].
  • Biased and unbiased estimators of distance covariance and distance correlation [SRB07].
  • Estimators of the partial distance covariance and partial distance covariance [SR14].

It also provides tests based on these E-statistics:

  • Test of homogeneity based on the energy distance.
  • Test of independence based on distance covariance.

References

[SR13]Gábor J. Székely and Maria L. Rizzo. Energy statistics: a class of statistics based on distances. Journal of Statistical Planning and Inference, 143(8):1249 – 1272, 2013. URL: http://www.sciencedirect.com/science/article/pii/S0378375813000633, doi:10.1016/j.jspi.2013.03.018.
[SR14]Gábor J. Székely and Maria L. Rizzo. Partial distance correlation with methods for dissimilarities. The Annals of Statistics, 42(6):2382–2412, 12 2014. doi:10.1214/14-AOS1255.
[SRB07](1, 2) 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. doi:10.1214/009053607000000505.

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Files for dcor, version 0.5.2
Filename, size File type Python version Upload date Hashes
Filename, size dcor-0.5.2-py2.py3-none-any.whl (34.2 kB) File type Wheel Python version py2.py3 Upload date Hashes View
Filename, size dcor-0.5.2.tar.gz (27.7 kB) File type Source Python version None Upload date Hashes View

Supported by

Pingdom Pingdom Monitoring Google Google Object Storage and Download Analytics Sentry Sentry Error logging AWS AWS Cloud computing DataDog DataDog Monitoring Fastly Fastly CDN DigiCert DigiCert EV certificate StatusPage StatusPage Status page