mgcpy: A Comprehensive High Dimensional Independence Testing Python Package

With the increase in the amount of data in many fields, a method to consistently and efficiently decipher relationships within high dimensional data sets is important. Because many modern datasets are high-dimensional, univariate independence tests are not applicable. While many multivariate independence tests have R packages available, the interfaces are inconsistent, most are not available in Python. mgcpy is an extensive Python library that includes many state of the art high-dimensional independence testing procedures using a common interface. The package is easy-to-use and is flexible enough to enable future extensions. This manuscript provides details for each of the tests as well as extensive power and run-time benchmarks on a suite of high-dimensional simulations previously used in different publications. The appendix includes demonstrations of how the user can interact with the package, as well as links and documentation.