Kendall: Kendall's Rank Correlation

In QRM: Provides R-Language Code to Examine Quantitative Risk Management Concepts

Description

Calculates Kendall's rank correlations. The function is a wrapper to cor().

Usage

Kendall(data, ...)

Arguments

data	matrix or data.frame.
...	ellipsis, arguments are passed down to cor()

Value

matrix

See Also

cor, Spearman

Examples

S <- equicorr(d = 3, rho = 0.5)
data <- rmnorm(1000, Sigma = S) 
Kendall(data) 

Example output

Loading required package: gsl
Loading required package: Matrix
Loading required package: mvtnorm
Loading required package: numDeriv
Loading required package: timeSeries
Loading required package: timeDate

Attaching package: 'QRM'

The following object is masked from 'package:base':

    lbeta

          [,1]      [,2]      [,3]
[1,] 1.0000000 0.3111592 0.3418138
[2,] 0.3111592 1.0000000 0.3388829
[3,] 0.3418138 0.3388829 1.0000000

QRM documentation built on April 14, 2020, 6:49 p.m.