Black-Swan-ICL / PyRKHSstats

A Python package implementing a variety of statistical methods that rely on kernels (e.g. HSIC for independence testing).

Geek Repo:Geek Repo

Github PK Tool:Github PK Tool

PyRKHSstats

A Python package implementing a variety of statistical/machine learning methods that rely on kernels (e.g. HSIC for independence testing).

Overview


Resource Description
HSIC For independence testing
HSCIC For the measurement of conditional independence
KCIT For conditional independence testing
MMD For two-sample testing

Implementations available

The following table details the implementation schemes for the different resources available in the package.

Resource Implementation Scheme Numpy based available PyTorch based available
HSIC Resampling (permuting the xi's but leaving the yi's unchanged) Yes No
HSIC Gamma approximation Yes No
HSCIC N/A Yes Yes
KCIT Gamma approximation Yes No
KCIT Monte Carlo simulation (weighted sum of χ2 random variables) Yes No
MMD Gram matrix spectrum Yes No

In development

  • Joint independence testing with dHSIC.
  • Goodness-of-fit testing.
  • Methods for time series models.
  • Bayesian statistical kernel methods.
  • Regression by independence maximisation.

About

A Python package implementing a variety of statistical methods that rely on kernels (e.g. HSIC for independence testing).

License:GNU General Public License v3.0


Languages

Language:Python 100.0%