R/BiCopIndTest.r

In CDVine: Statistical Inference of C- And D-Vine Copulas

BiCopIndTest <- function(u1, u2) {
  if (is.null(u1) == TRUE || is.null(u2) == TRUE) 
    stop("u1 and/or u2 are not set or have length zero.")
  if (any(u1 > 1) || any(u1 < 0)) 
    stop("Data has be in the interval [0,1].")
  if (any(u2 > 1) || any(u2 < 0)) 
    stop("Data has be in the interval [0,1].")
  if (length(u1) != length(u2)) 
    stop("Lengths of 'u1' and 'u2' do not match.")
  if (length(u1) < 2) 
    stop("Number of observations has to be at least 2.")
  
  # tau = cor(u1,u2,method='kendall')
  tau <- fasttau(u1, u2)
  
  N <- length(u1)
  f <- sqrt((9 * N * (N - 1))/(2 * (2 * N + 5))) * abs(tau)
  
  return(list(statistic = f, p.value = 2 * (1 - pnorm(f))))
}