EstDep: Kendall's tau and Spearman's rho statistics for testing...

In MixedIndTests: Tests of Randomness and Tests of Independence

Kendall's tau and Spearman's rho statistics for testing independence between random variables

Description

This function computes the matrix of pairs of Kendall's tau and Spearman's rho statistics between random variables with arbitrary distributions.

Usage

EstDep(x, graph = FALSE)

Arguments

x	Data matrix
graph	Set to TRUE for a dependogram for all pairs of Kendall's taus and Spearman's rhos.

Value

stat	List of Kendall's tau and Spearman's rho statistics from multilinear copula, and test combinations LB
pvalue	P-values for the tests statistics

References

Genest, Neslehova, Remillard & Murphy (2018). Testing for independence in arbitrary distributions

Examples

x <- matrix(rnorm(500),ncol=10)
out <-EstDep(x)

MixedIndTests documentation built on May 29, 2024, 12:19 p.m.