corc0: Function to estimate copula using ranks and sub-sampling,...

In subrank: Computes Copula using Ranks and Subsampling

Function to estimate copula using ranks and sub-sampling, minimal version.

Description

Minimal version of function corc.

Usage

corc0(datavector,sampsize,dimension,subsampsize,nboot,u,mixties=FALSE,nthreads=2)

Arguments

datavector	a vector, containing the observations
sampsize	the sample size
dimension	the sample dimension
subsampsize	the sub-sample size
nboot	the number of sub-samples (must be big)
u	a random seed, integer
mixties	if TRUE, put equal weight on tied values, using random permutations
nthreads	number of number of threads, assumed to be strictly positive. For "full throttle" computations, consider using parallel::detectCores()

Value

the number of hits for each vector of ranks, plus 2 last values of the vector : number of ties and number of sub-samples really used.

Author(s)

Jerome Collet

Examples

lon <- 30
a <- 2.85
x <- rnorm(lon)
y = a*x^2+rnorm(lon)
c=corc0(c(x,y),lon,2,8,1e5,75014)
c

c0=c(
1203, 1671, 1766, 959, 1586, 1715, 1803, 1205, 1260,1988, 2348, 1917, 3506, 2045, 1340,
1093, 2694, 2757,2233, 1085, 2322, 1793, 1569, 1263, 1709, 1747, 1512,1308, 1778, 1354,
1184, 1097, 2487, 2730, 2112, 1100,2435, 2033, 1572, 1093, 1369, 1722, 1462, 1015, 1228,
1419, 1776, 1852, 1009, 1097, 1179, 1323, 1595, 1316,1477, 2628, 889, 1178, 1981, 4000, 
35, 840, 2091, 4467,0, 27405)
set.seed(75013)
lon=30
dimension=3
sssize=4
c0==corc0(rnorm(lon*dimension),lon,dimension,sssize,1e5,75014)

subrank documentation built on April 6, 2023, 1:11 a.m.