MVTest

A Distribution-Free Test of Independence Based on Mean Variance Index.

Install

pip install mvtpy

Usage

from mvtpy.mvtest import mvtest
model = mvtest()
y = np.array(range(5))
x = y + np.random.normal()
# Y has to be a discrete vector
model.test(x, y)

Notes

This package is purely implemented with Numpy library with limited execution performance. Please read the reference and speed up the the code by yourself for large scale dataset.

Reference

Cui H, Zhong W. A Distribution-Free Test of Independence and Its Application to Variable Selection[J]. arXiv preprint arXiv:1801.10559, 2018.