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
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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