hi yarik,
here is my attempt:
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.
cheers,
satra
On Fri, Jun 15, 2012 at 10:19 AM, Yaroslav Halchenko <[email protected]>wrote:
> I haven't had a chance to play with it extensively but I have a basic
> implementation:
> 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)
>
> On Fri, 15 Jun 2012, Satrajit Ghosh wrote:
>
> > hi 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
> > simple
> > to estimate and as intuitive as a correlation coefficient
>
> > thanks for bringing up dCov. have you had a chance to play with it
> (their
> > R package) [1] /try to implement it from their paper [2]. it seems
> like
> > dCov, from the paper doesn't apply to 2 vectors, but it can compare
> the
> > covariance of two datasets, where n_samples>1. their code also allows
> you
> > to 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
> > 2 random vectors.
> > all that said, i started implementing dCorr/dCov for sklearn and
> stopped
> > as i couldn't match my output with the R code (i didn't actually look
> at
> > the source there) and it seemed it wasn't going to be related to
> comparing
> > two samples.
> > cheers,
> > satra
> > [1]�[2]http://cran.r-project.org/web/packages/energy/index.html
> > [2]�[3]http://arxiv.org/pdf/0803.4101.pdf
> > �
> --
> 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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