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shogun-toolbox / shogun

Shōgun
http://shogun-toolbox.org
BSD 3-Clause "New" or "Revised" License
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Implement dCor (dependence measure) #2338

Open sejdino opened 10 years ago

sejdino commented 10 years ago

This is part of the GSoC project Testing and Measuring Variable Interactions With Kernels

See Equivalence of distance-based and RKHS-based statistics in hypothesis testing.

Implement distance correlation (also known as centred kernel alignment) described in Appendix A of the above paper. Equation (A.1) gives the population expression while the empirical version is given by Tr(KHLH) / sqrt( Tr(KHKH)*Tr(LHLH) ) where K and L are respectively Gram matrices on Xs and Ys and H is the centering matrix.

Target: @lambday Contacts: @karlnapf, @sejdino

lambday commented 10 years ago

Thanks @sejdino. Adding this in my schedule.