EstDepMoebius: Dependence measures and statistics for test of independence...

In MixedIndTests: Tests of Randomness and Tests of Independence

Dependence measures and statistics for test of independence between random variables

Description

This function computes copula-based dependence measures for Moebius versions of Spearmans's rho, van der Waerden's coefficient, and Savage's coefficient, as well as their combination for tests of independence between random variables.

Usage

EstDepMoebius(x, trunc.level = 2, graph = FALSE)

Arguments

x	Data matrix
trunc.level	Only subsets of cardinality <= trunc.level (default=2) are considered for the Moebius statistics.
graph	Set to TRUE if one wants the dependogram of P-values for the Moebius statistics

Value

stat	List of statistics (spearman, vdw, savage) and test combinations Ln and Ln2 (only pairs)
pvalue	P-values for the tests
cardA	Cardinaly of the subsets for the Moebius statistics
subsets	Subsets for the Moebius statistics

References

B.R Nasri & B.N. Remillard (2023). Tests of independence and randomness for arbitrary data using copula-based covariances

Examples

x <- matrix(rnorm(250),ncol=5)
out <-EstDepMoebius(x,3)

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