R/MKER.R

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

Defines functions MKER

Documented in MKER

MKER=function(X,kmax){
  VKR=eigen(MSK(X,1))$values
  k=which.max(VKR[1:kmax]/(VKR[2:(kmax+1)]))
  VKC=eigen(MSK(X,2))$values
  r=which.max(VKC[1:kmax]/(VKC[2:(kmax+1)]))
  fn=list()
  fn$khat=k
  fn$rhat=r
  return(fn)
}

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