I put together a Julia package implementing the Hoeffding Dependence measure for the ones that could be interested.
There are some Matlab, R, Python, and SAS implementations, but I could not find one in Julia.
The package is available here: GitHub - ericqu/HoeffdingD: HoeffdingD.jl implements in pure Julia the Hoeffding measure of dependence..
If you have any questions/suggestions, please let me know.
Because this is a relatively obscure statistical measure, I don’t think it is useful to integrate it in StatsBase. But I was thinking of having a post to find the package if someone searches for it.
I hope this is alright. I am new here, so that I could have done a few things wrongly; if so, please let me know I will try to fix them.