rank.multivariate: multivariate rank of a vector

In COST: Copula-Based Semiparametric Models for Spatio-Temporal Data

Description

calculating the multivariate rank of a vector among a set of vectors, used to evaluate the performance of conditional distribution, and the rank would be uniform when the conditional distribution is estimated well

Usage

rank.multivariate(y.test,y.random,seed1)

Arguments

y.test	the observed (verifying) vector at time n+1
y.random	m random draws from the conditional distribution
seed1	random seed to solve tie at random

Value

the multivariate rank of the observed (verifying) vector at time n+1

Author(s)

Yanlin Tang and Huixia Judy Wang

References

Yanlin Tang, Huixia Judy Wang, Ying Sun, Amanda Hering. Copula-based semiparametric models for spatio-temporal data.

COST documentation built on May 2, 2019, 9:33 a.m.