AuxFunC: Auxiliary functions using C

In CopulaInference: Estimation and Goodness-of-Fit of Copula-Based Models with Arbitrary Distributions

Auxiliary functions using C

Description

This function computes the empirical margins, their left-limits, Kendall's tau and Spearman's rho for arbitrary data

Usage

AuxFunC(data)

Arguments

data	Matrix (x,y) of size n x 2

Value

tau	Kendall's tau
rho	Spearman's rho
Fx	Empirical cdf of x
Fxm	Left-limit of the empirical cdf of x
Fy	Empirical cdf of y
Fym	Left-limit of the empirical cdf of y

References

Nasri (2022). Test of serial dependence for arbitrary distributions. JMVA

Nasri & Remillard (2023). Tests of independence and randomness for arbitrary data using copula-based covariances, arXiv 2301.07267.

Examples

data(simgumbel)
out=AuxFunC(simgumbel)

CopulaInference documentation built on April 21, 2023, 9:07 a.m.