Sigma.est: Covariance matrix of components of Lancaster correlation...

In lancor: Statistical Inference via Lancaster Correlation

Covariance matrix of components of Lancaster correlation coefficient

Description

Estimate of covariance matrix of the two components of Lancaster correlation. Lancaster correlation is a bivariate measures of dependence.

Usage

Sigma.est(xx)

Arguments

xx	a matrix or data frame with two columns.

Details

For more details see the Appendix in Holzmann, Klar (2024).

Value

the estimated covariance matrix.

Author(s)

Hajo Holzmann, Bernhard Klar

References

Holzmann, Klar (2024). "Lancester correlation - a new dependence measure linked to maximum correlation". \Sexpr[results=rd]{tools:::Rd_expr_doi("https://doi.org/10.1111/sjos.12733")}

See Also

lcor.ci

Examples

Sigma <- matrix(c(1,0.1,0.1,1), ncol=2)
R <- chol(Sigma)
n <- 1000
x <- matrix(rnorm(n*2), n)
nu <- 8
y <- x / sqrt(rchisq(n, nu)/nu) #multivariate t
Sigma.est(y)

lancor documentation built on Aug. 22, 2025, 9:16 a.m.