https://github.com/satra/scikit-learn/blob/enh/covariance/sklearn/covariance/distance_covariance.py
i'll look at your code in detail later today to understand the uv=True case.
Post by Yaroslav HalchenkoI haven't had a chance to play with it extensively but I have a basic
https://github.com/PyMVPA/PyMVPA/blob/master/mvpa2/misc/dcov.py
which still lacks statistical assessment, but provides dCov, dCor values
and yes -- it is "inherently multivariate", but since also could be
useful if applied in a univariate fashion, you can see those uv bool
arguments. Implementation as is is very memory hungry (even for
multivariate case... which shouldn't be the case)
Post by Satrajit Ghoshhi yarik,
hm... interesting -- and there is no comparison against "minimizing
independence"? e.g. dCov measure
[1]http://en.wikipedia.org/wiki/Distance_correlation which is
really
Post by Satrajit Ghoshsimple
to estimate and as intuitive as a correlation coefficient
thanks for bringing up dCov. have you had a chance to play with it
(their
Post by Satrajit GhoshR package) [1] /try to implement it from their paper [2]. it seems
like
Post by Satrajit GhoshdCov, from the paper doesn't apply to 2 vectors, but it can compare
the
Post by Satrajit Ghoshcovariance of two datasets, where n_samples>1. their code also allows
you
Post by Satrajit Ghoshto enter two distance matrices into dCor and dCov and dCor(x,x) != dCor(x).
i would love if somebody can explain to me how dCor, dCov can be used
for
Post by Satrajit Ghosh2 random vectors.
all that said, i started implementing dCorr/dCov for sklearn and
stopped
Post by Satrajit Ghoshas i couldn't match my output with the R code (i didn't actually look
at
Post by Satrajit Ghoshthe source there) and it seemed it wasn't going to be related to
comparing
Post by Satrajit Ghoshtwo samples.
cheers,
satra
[1]ᅵ[2]http://cran.r-project.org/web/packages/energy/index.html
[2]ᅵ[3]http://arxiv.org/pdf/0803.4101.pdf
ᅵ
--
Yaroslav O. Halchenko
Postdoctoral Fellow, Department of Psychological and Brain Sciences
Dartmouth College, 419 Moore Hall, Hinman Box 6207, Hanover, NH 03755
Phone: +1 (603) 646-9834 Fax: +1 (603) 646-1419
WWW: http://www.linkedin.com/in/yarik
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