TauMatrix: Matrix of Empirical Kendall's Tau Values

In VineCopula: Statistical Inference of Vine Copulas

Matrix of Empirical Kendall's Tau Values

Description

This function computes the empirical Kendall's tau using the algorithm by Knight (1966).

Usage

TauMatrix(data, weights = NA)

Arguments

data	An N x d data matrix.
weights	Numerical; weights for each observation (optional).

Value

Matrix of the empirical Kendall's taus.

Author(s)

Ulf Schepsmeier

References

Knight, W. R. (1966). A computer method for calculating Kendall's tau with ungrouped data. Journal of the American Statistical Association 61 (314), 436-439.

See Also

BiCopTau2Par(), BiCopPar2Tau(), BiCopEst()

Examples

data(daxreturns)
Data <- as.matrix(daxreturns)

# compute the empirical Kendall's taus
TauMatrix(Data)

VineCopula documentation built on Sept. 11, 2024, 5:26 p.m.