def winsorized_rank_correlation(X, rowvar=False, weighted=False):
    """
    Computes rank correlations using a winsorized ranks.
    Relevant to high dimensional settings where the n_samples < n_features
    resulting too large variance in the ranks.

    Parameters
    ----------
    X: array-like, shape = [n_samples, n_features]
        Data matrix using which we compute the empirical
        correlation

    Returns
    -------
    rank_correlation

    References
    ----------

    Liu, Han, John Lafferty, and Larry Wasserman.
    "The nonparanormal: Semiparametric estimation of high dimensional
    undirected graphs."
    Journal of Machine Learning Research 10.Oct (2009): 2295-2328.
    """
    pass
