PyRKHSstats

A Python package implementing a variety of statistical/machine learning methods that rely on kernels (e.g. HSIC for independence testing).

Implemented

• Independence testing with HSIC using the Gamma approximation, as introduced in 'A Kernel Statistical Test of Independence', A. Gretton, K. Fukumizu, C. Hui Teo, L. Song, B. Scholkopf, A. J. Smola (2007).

In development

• Two-sample testing with MMD.
• Goodness-of-fit testing.
• Methods for time series models.
• Bayesian statistical kernel methods.