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fabianp / partial_corr.py
Last active March 21, 2024 09:00
Partial Correlation in Python (clone of Matlab's partialcorr)
"""
Partial Correlation in Python (clone of Matlab's partialcorr)
This uses the linear regression approach to compute the partial
correlation (might be slow for a huge number of variables). The
algorithm is detailed here:
http://en.wikipedia.org/wiki/Partial_correlation#Using_linear_regression
Taking X and Y two variables of interest and Z the matrix with all the variable minus {X, Y},