MSK: Estimating Row and Column Sample Matrix Kendall's Tau

In MKendall: Matrix Kendall's Tau and Matrix Elliptical Factor Model

Estimating Row and Column Sample Matrix Kendall's Tau

Description

This function is to estimate row and column sample matrix Kendall's tau which are defined in He et al. (2022) <arXiv:2207.09633>

Usage

MSK(X, type = "1")

Arguments

X	Input three-dimensional array, of dimension T \times p \times q. T is the sample size, p is the row dimension of each matrix observation and q is the column dimension of each matrix observation.
type	If type=1, calculate the row sample matrix Kendall's tau; if type=2, calculate the column sample matrix Kendall's tau. The default is the row sample matrix Kendall's tau.

Details

See He at al. (2022) <arXiv:2207.09633> for details.

Value

If type=1, the return value is a p \times p matrix; if type=2, the return value is a q \times q matrix.

Author(s)

Yong He, Yalin Wang, Long Yu, Wang Zhou and Wenxin Zhou.

References

He, Y., Wang, Y., Yu, L., Zhou, W., & Zhou, W. X. (2022). A new non-parametric Kendall's tau for matrix-value elliptical observations <arXiv:2207.09633>.

Examples

X=array(rnorm(400),c(20,5,4))
MSK(X,1)

MKendall documentation built on May 29, 2024, 1:26 a.m.