dcor: distance correlation and distance covariance in Python.
Project description
Distance covariance and distance correlation are dependency measures between random vectors introduced in [SRB07].
This package offers functions for calculating several statistics related with distance covariance and distance correlation, including biased and unbiased estimators of both dependency measures.
References
[SRB07]
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.
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