This repository contains code for calculating the Hilbert-Schmidt Independence Criterion in Python as in [1] Measuring Statistical Dependence with Hilbert-Schmidt Norms (2005) and [2] Kernel-based Tests for Joint Independence (2016)
hsic.py: Contains the code needed to calculate the HSICrun_examples.py: Examples for usage
The scripts are written for Python 3.6 and require Numpy
Download the file hsic.py, and (add it to the system path, or) from within the same directory execute the following from within a Python REPL or a .py file
from hsic import dHSIC
dHSIC(X, Y, ...)where all inputs to dHSIC, X and Y etc, are of type numpy.ndarray.
If only two inputs X and Y are passed to dHSIC, the simpler HSIC is
automatically called, and the hsic value is computed as in [1], eq. (9).
If more than two inputs are passed to dHSIC, the computation is done as in
[2], Definition 2.6.