2e7c93c
committed
Commits
Comments (0)
Files changed (7)

+5 0CHANGELOG.txt

+3 3README.md

+1 1code/H_I_D_A_C/base_estimators/ABlomqvist_estimation.m

+46 0code/H_I_D_A_C/base_estimators/ASpearman_lt_estimation.m

+31 0code/H_I_D_A_C/base_estimators/ASpearman_lt_initialization.m

+45 0code/H_I_D_A_C/meta_estimators/ASpearman_L_estimation.m

+32 0code/H_I_D_A_C/meta_estimators/ASpearman_L_initialization.m
CHANGELOG.txt
+Lower tail dependence via conditional Spearman's rho: added; see 'ASpearman_L_initialization.m', 'ASpearman_L_estimation.m'.
+Multivariate conditional version of Spearman's rho weighting the lower tail: added; see 'ASpearman_lt_initialization.m', 'ASpearman_lt_estimation.m'.
Multivariate extension of Blomqvist's beta (medial correlation coefficient): added; see 'ABlomqvist_initialization.m', 'ABlomqvist_estimation.m'.
Average pairwise Spearman's rho: added; see 'ASpearman4_initialization.m', 'ASpearman4_estimation.m'.
README.md
 `entropy (H)`: Shannon entropy, R�nyi entropy, Tsallis entropy (Havrda and Charv�t entropy), complex entropy,
 `mutual information (I)`: generalized variance, kernel canonical correlation analysis, kernel generalized variance, HilbertSchmidt independence criterion, Shannon mutual information, L2 mutual information, R�nyi mutual information, Tsallis mutual information, copulabased kernel dependency, multivariate version of Hoeffding's Phi, SchweizerWolff's sigma and kappa, complex mutual information, CauchySchwartz quadratic mutual information, Euclidean distance based quadratic mutual information, distance covariance, distance correlation, approximate correntropy independence measure,
 `divergence (D)`: KullbackLeibler divergence (relative entropy), L2 divergence, R�nyi divergence, Tsallis divergence, Hellinger distance, Bhattacharyya distance, maximum mean discrepancy (kernel distance, an integral probability metric), Jdistance (symmetrised KullbackLeibler divergence), CauchySchwartz divergence, Euclidean distance based divergence, energy distance (specially the CramerVon Mises distance),
 `association measures (A)`, including `measures of concordance`: multivariate extensions of Spearman's rho (Spearman's rank correlation coefficient, grade correlation coefficient), correntropy, centered correntropy, correntropy coefficient, correntropy induced metric, centered correntropy induced metric, multivariate extension of Blomqvist's beta (medial correlation coefficient),
+ `association measures (A)`, including `measures of concordance`: multivariate extensions of Spearman's rho (Spearman's rank correlation coefficient, grade correlation coefficient), correntropy, centered correntropy, correntropy coefficient, correntropy induced metric, centered correntropy induced metric, multivariate extension of Blomqvist's beta (medial correlation coefficient), multivariate conditional version of Spearman's rho, lower tail dependence via conditional Spearman's rho,
 code: [zip](https://bitbucket.org/szzoli/ite/downloads/ITE0.28_code.zip), [tar.bz2](https://bitbucket.org/szzoli/ite/downloads/ITE0.28_code.tar.bz2),
+ code: [zip](https://bitbucket.org/szzoli/ite/downloads/ITE0.29_code.zip), [tar.bz2](https://bitbucket.org/szzoli/ite/downloads/ITE0.29_code.tar.bz2),
code/H_I_D_A_C/base_estimators/ABlomqvist_estimation.m
% Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaiser, and Martin Ruppert. Copula Theory and Its Applications, Chapter Copula based Measures of Multivariate Association. Lecture Notes in Statistics. Springer, 2010. (multidimensional case, length(ds)>=2)
% Manuel UbedaFlores. Multivariate versions of Blomqvist's beta and Spearman's footrule. Annals of the Institute of Statistical Mathematics, 57:781788, 2005.
% Nils Blomqvist. On a measure of dependence between two random variables. The Annals of Mathematical Statistics, 21:593600, 1950. (2D case, statistical properties)
%Frederick Mosteller. On some useful ''inefficient'' statistics. Annals of Mathematical Statistics, 17:377408, 1946. (2D case, def)
+% Frederick Mosteller. On some useful ''inefficient'' statistics. Annals of Mathematical Statistics, 17:377408, 1946. (2D case, def)
%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
code/H_I_D_A_C/base_estimators/ASpearman_lt_estimation.m
+%Estimates the multivariate conditional version of Spearman's rho; the measure weights the lower tail of the copula. The estimation is based on the empirical copula.
+%We use the naming convention 'A<name>_estimation' to ease embedding new association measure estimator methods.
+% Friedrich Schmid and Rafael Schmidt. Multivariate conditional versions of Spearman's rho and related measures of tail dependence. Journal of Multivariate Analysis, 98:11231140, 2007.
+% C. Spearman. The proof and measurement of association between two things. The American Journal of Psychology, 15:72101, 1904.
+%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
+%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
+%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
+%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
+%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
+%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.
code/H_I_D_A_C/base_estimators/ASpearman_lt_initialization.m
+%Initialization of the multivariate conditional version of Spearman's rho estimator; the measure weights the lower tail of the copula.
+% 2)We use the naming convention 'A<name>_initialization' to ease embedding new association measure estimator methods.
+%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
+%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
+%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
+%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
+%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
+%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.
code/H_I_D_A_C/meta_estimators/ASpearman_L_estimation.m
+% 1)We use the naming convention 'A<name>_estimation' to ease embedding new association measure estimator methods.
+% 2)This is a meta method: the conditional Spearman's rho estimator (of lower tail) can be arbitrary.
+% Friedrich Schmid and Rafael Schmidt. Multivariate conditional versions of Spearman's rho and related measures of tail dependence. Journal of Multivariate Analysis, 98:11231140, 2007.
+% C. Spearman. The proof and measurement of association between two things. The American Journal of Psychology, 15:72101, 1904.
+%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
+%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
+%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
+%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
+%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
+%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.
code/H_I_D_A_C/meta_estimators/ASpearman_L_initialization.m
+% 2)We use the naming convention 'A<name>_initialization' to ease embedding new association measure estimator methods.
+%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
+%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
+%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
+%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
+%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
+%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.
+ co.member_name = 'Spearman_lt'; %you can change it to any conditional Spearman's rho (of lower tail) estimator