statsmodels.stats.covariance.corr_normal_scores#
- statsmodels.stats.covariance.corr_normal_scores(data)[source]#
Gaussian rank (normal scores) correlation
Status: unverified, subject to change
- Parameters:
- dataarray_like
2-D data with observations in rows and variables in columns
- Returns:
- corr
ndarray correlation matrix
- corr
References
[1]Boudt, Kris, Jonathan Cornelissen, and Christophe Croux. “The Gaussian Rank Correlation Estimator: Robustness Properties.” Statistics and Computing 22, no. 2 (April 5, 2011): 471-83. https://doi.org/10.1007/s11222-011-9237-0.