Partial Correlation in Python

partial_corr.py

"""
Partial Correlation in Python

Based on Fabian Pedregosa-Izquierdo's implementation at:
https://gist.github.com/fabianp/9396204419c7b638d38f

This version of the algorithm calculates the partial correlation coefficient controlling for Z.
I use row vectors here, for whatever reason.
"""

import numpy as np 

def partial_corr(X,Z):
	"""
	Returns the partial correlation coefficients between elements of X controlling for the elements in Z.
	"""

	
	X = np.asarray(X).transpose()
	Z = np.asarray(Z).transpose()
	n = X.shape[1]

	partial_corr = np.zeros((n,n), dtype=np.float)
	for i in range(n):
		partial_corr[i,i] = 1
		for j in range(i+1,n):
			beta_i = np.linalg.lstsq(Z, X[:,j])[0]
			beta_j = np.linalg.lstsq(Z, X[:,i])[0]

			res_j = X[:,j] - Z.dot(beta_i)
			res_i = X[:,i] - Z.dot(beta_j)

			corr = np.corrcoef(res_i,res_j)

			partial_corr[i,j] = corr.item(0,1)
			partial_corr[j,i] = corr.item(0,1)

	return partial_corr