cor_kendall: Kendall's tau correlation coefficient for bivariate...

In roahd: Robust Analysis of High Dimensional Data

Description

This function computes the Kendall's tau correlation coefficient for a bivariate functional dataset, with either a max or area-under-curve order order relation between univariate functional elements (components).

Usage

cor_kendall(mfD, ordering = "max")

Arguments

mfD	a bivariate functional dataset whose Kendall's tau coefficient must be computed, in form of bivariate mfData object (mfD$L=2).
ordering	the ordering relation to use on functional observations, either "max" for the maximum relation or "area" for the area under the curve relation (default is "max").

Details

Given a bivariate functional dataset, with first components X_1(t), X_2(t), …, X_N(t) and second components Y_1(t), Y_2(t), …, Y_N(t), the function exploits either the order relation based on the maxima or the area-under-curve relation to compare data and produce concordances and discordances, that are then used to compute the tau coefficient.

See the references for more details.

Value

The function returns the Kendall's tau correlation coefficient for the bivariate dataset provided with mfData.

References

Valencia, D., Romo, J. and Lillo, R. (2015). A Kendall correlation coefficient for functional dependence, Universidad Carlos III de Madrid technical report, http://EconPapers.repec.org/RePEc:cte:wsrepe:ws133228.

See Also

mfData, area_ordered, max_ordered

Examples

#### TOTALLY INDEPENDENT COMPONENTS
N = 2e2
P = 1e3

grid = seq( 0, 1, length.out = P )

# Creating an exponential covariance function to simulate guassian data
Cov = exp_cov_function( grid, alpha = 0.3, beta = 0.4 )

# Simulating (independent) gaussian functional data with given center and
# covariance function
Data_1 = generate_gauss_fdata( N, centerline = sin( 2 * pi * grid ), Cov = Cov )
Data_2 = generate_gauss_fdata( N, centerline = sin( 2 * pi * grid ), Cov = Cov )

# Using the simulated data as (independent) components of a bivariate functional
# dataset
mfD = mfData( grid, list( Data_1, Data_2 ) )

# Correlation approx. zero (components were created independently)
cor_kendall( mfD, ordering = 'max' )

# Correlation approx. zero (components were created independently)
cor_kendall( mfD, ordering = 'area' )

#### TOTALLY DEPENDENT COMPONENTS

# Nonlinear transform of first component
Data_3 = t( apply( Data_1, 1, exp ) )

# Creating bivariate dataset starting from nonlinearly-dependent components
mfD = mfData( grid, list( Data_1, Data_3 ) )

# Correlation very high (components are nonlinearly dependent)
cor_kendall( mfD, ordering = 'max' )

# Correlation very high (components are nonlinearly dependent)
cor_kendall( mfD, ordering = 'area' )

roahd documentation built on Nov. 4, 2021, 1:07 a.m.