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Add friedman's H statistic #22383

@amueller

Description

@amueller

Describe the workflow you want to enable

It's a relatively straight-forward measure of whether there's significant interaction between variables in a model given the marginal and pairwise partial dependence.
We don't do a lot of statistics, but arguably this is more an interpretability feature.
See https://www.firmai.org/bit/interaction.html#theory-friedmans-h-statistic

Describe your proposed solution

We could implement it either as a function or at least as an example to copy &paste.

Describe alternatives you've considered, if relevant

People can always implement it themselves, but it might not be super straight-forward? We could also have an example, though.

Additional context

No response

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