statsmodels.stats.covariance.corr_quadrant#
- statsmodels.stats.covariance.corr_quadrant(data, transform=<ufunc 'sign'>, normalize=False)[source]#
Quadrant correlation
Status: unverified, subject to change
- Parameters:
- dataarray_like
2-D data with observations in rows and variables in columns
- transform
callable Function used to transform the demeaned data before computing the correlation. Default is
np.sign.- normalizebool
If True, normalize the resulting matrix by the standard deviations so that it is a proper correlation matrix. Default is False.
- Returns:
- corr
ndarray correlation matrix
- corr
References
[1]Croux, Christophe, and Catherine Dehon. “Influence Functions of the Spearman and Kendall Correlation Measures.” Statistical Methods & Applications 19, no. 4 (May 12, 2010): 497-515. https://doi.org/10.1007/s10260-010-0142-z.