Distance Correlation

This is a naive implementation of distance correlation in TypeScript.

It's clean, easy to use, runs in node or a browser, and has no dependencies.

Why use distance correlation?

It's basically what Pearson's correlation coefficient r always dreamed of being, but never could achieve.

https://en.wikipedia.org/wiki/Distance_correlation

Installation

npm install distance-correlation

Usage

This package exports a single function with the following call signature:

function distanceCorrelation(x:number[], y:number[]):number

That means that the function accepts two arrays of numbers and returns a number.

import {distanceCorrelation} from 'distance-correlation';

let x = [1,2,3,4];

let y = [1,2,3,4];

console.log(distanceCorrelation(x,y));

1

Efficiency

The computational complexity is O(n^2), but my tests show that about 10,000 points can be computed in one second.