EstDep: Kendall's tau and Spearman's rho

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

Kendall's tau and Spearman's rho

Description

This function computes Kendall's tau and Spearman's rho for arbitrary data. These are invariant by increasing mappings.

Usage

EstDep(data)

Arguments

data	Matrix or data frame with 2 columns (X,Y). Can be pseudo-observations.

Value

tau	Kendall's tau
rho	Spearman's rho

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=EstDep(simgumbel)

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