6.3.8. statsmodels.sandbox.distributions.mv_measures

using multivariate dependence and divergence measures

The standard correlation coefficient measures only linear dependence between random variables. kendall’s tau measures any monotonic relationship also non-linear.

mutual information measures any kind of dependence, but does not distinguish between positive and negative relationship

mutualinfo_kde and mutualinfo_binning follow Khan et al. 2007

Shiraj Khan, Sharba Bandyopadhyay, Auroop R. Ganguly, Sunil Saigal, David J. Erickson, III, Vladimir Protopopescu, and George Ostrouchov, Relative performance of mutual information estimation methods for quantifying the dependence among short and noisy data, Phys. Rev. E 76, 026209 (2007) http://pre.aps.org/abstract/PRE/v76/i2/e026209

6.3.8.1. Functions

mutualinfo_binned(y, x, bins[, normed])	mutual information of two random variables estimated with kde
mutualinfo_kde(y, x[, normed])	mutual information of two random variables estimated with kde
mutualinfo_kde_2sample(y, x[, normed])	mutual information of two random variables estimated with kde