ECBC: Compute empirical checkerboard copula in arbitrary dimension

In qmd: Quantification of Multivariate Dependence

Compute empirical checkerboard copula in arbitrary dimension

Description

The function ECBC computes the mass distribution of the empirical (checkerboard) copula, given a rho-dimensional sample X. If resolution equals sample size, the bi-linearly extended empirical copula is returned. Note, if there are ties in the sample an adjusted empirical copula is calculated. If bin.size is set to "adaptive" the sizes of the bins will be adjusted to fit the data without overspilling into neighboring bins. This might affects the result, but is more efficient with samples having many ties as no adjustment is needed.

Usage

ECBC(X, resolution, bin.size = "fixed")

Arguments

X	a numeric matrix of dimension rho indicating a sample of rho variables
resolution	an integer indicating the resolution N of the checkerboard copula
bin.size	either "fixed" or "adaptive", indicating whether the checkerboard copula may vary its bin sizes (defaults to "fixed")

Value

array of dimension resolution^rho.

Examples

n <- 1000
x1 <- runif(n)
x2 <- runif(n)
y <- x1 + x2 + rnorm(n)
M <- ECBC(X = cbind(x1,x2,y), resolution = 8)

qmd documentation built on Aug. 22, 2022, 5:07 p.m.