MVTest

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

Installation

pip install mvtpy

Usage

from mvtpy.mvtest import mvtest
sample = mvtest()
y = np.linspace(0,5,5)
x = y + np.random.normal()
# Y has to be a discrete vector
sample.test(x, y)

Reference

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