Ivan Medovikov

Department of Economics
Brock University

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MATLAB Code

Multivariate Hoeffding's Phi-Squared. MATLAB function that estimates nonparametric measure of association between several random variables of Gaißer, Ruppert & Schmid (2010).

multphi2.m | View on MATLAB Central

References

Gaißer, S., Ruppert, M., & Schmid, F. (2010). A multivariate version of Hoeffding’s Phi-Square. Journal of Multivariate Analysis, 101(10), 2571-2586.

Disclaimer

Please note that code comes with no warranty, express or implied. All code is free for academic and personal but not commercial use.

(C) 2014 Ivan Medovikov