skfolio.distance.DistanceCorrelation

class skfolio.distance.DistanceCorrelation(threshold=0.5)

Distance Correlation estimator.

Distance Correlation was introduced by Szekely [1] to capture non-linear dependencies.

Parameters:

thresholdfloat, default=0.5

Distance correlation threshold.

Attributes:

codependence_ndarray of shape (n_assets, n_assets)

Codependence matrix.

distance_ndarray of shape (n_assets, n_assets)

Distance matrix.

n_features_in_int

Number of assets seen during fit.

feature_names_in_ndarray of shape (n_features_in_,)

Names of assets seen during fit. Defined only when X has assets names that are all strings.

References

[1]

“Measuring and testing independence by correlation of distances” Gábor J. Szekely , 2005

Methods

fit(X[, y])	Fit the Distance Correlation estimator.
get_metadata_routing()	Get metadata routing of this object.
get_params([deep])	Get parameters for this estimator.
set_params(**params)	Set the parameters of this estimator.

fit(X, y=None)

Fit the Distance Correlation estimator.

Parameters:

Xarray-like of shape (n_observations, n_assets)

Price returns of the assets.

yIgnored

Not used, present for API consistency by convention.

Returns:

selfDistanceCorrelation

Fitted estimator.

get_metadata_routing()

Get metadata routing of this object.

Please check User Guide on how the routing mechanism works.

Returns:

routingMetadataRequest

A MetadataRequest encapsulating routing information.

get_params(deep=True)

Get parameters for this estimator.

Parameters:

deepbool, default=True

If True, will return the parameters for this estimator and contained subobjects that are estimators.

Returns:

paramsdict

Parameter names mapped to their values.

set_params(**params)

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as Pipeline). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Parameters:

**paramsdict

Estimator parameters.

Returns:

selfestimator instance

Estimator instance.