A Distribution-Free Test of Independence Based on Mean Variance Index.
pip install mvtpy
from mvtpy.mvtest import mvtest
sample = mvtest()
y = np.array(range(5))
x = y + np.random.normal()
# Y has to be a discrete vector
sample.test(x, y)
This package only performs acceptable efficiency on large-scale dataset due to my limited programming skills. If you have any better solution on this algorithm, please contact me at cs_xcy@126.com/chuanyu.xue@uconn.edu
Cui H, Zhong W. A Distribution-Free Test of Independence and Its Application to Variable Selection[J]. arXiv preprint arXiv:1801.10559, 2018.