Yes, the author has shared the link to R package here:

https://cran.r-project.org/web/packages/XICOR/index.html

Edit: R code from Dr. Chatterjee's Stanford page is here - https://souravchatterjee.su.domains//xi.R

If you have never worked with R, the code seems clunky so I suggest checking out Python implementation on Github here:

https://github.com/czbiohub/xicor

The Python library is not from the original author though. But it's easy to read the code and it works with pandas as well.