Multivariate conditional Spearman's rho

Share:

Description

Compute multivariate conditional Spearman's rho over a range of quantiles.

Usage

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
MCS(X, p = seq(0.1, 0.9, by = 0.1))

## S3 method for class 'MCS'
plot(x, xlab = "p", ylab = "MCS", ...)

## S3 method for class 'MCS'
ggplot(data, mapping, main = "", ..., environment)

bootMCS(X, p = seq(0.1, 0.9, by = 0.1), R = 100, trace = 10)

## S3 method for class 'bootMCS'
ggplot(data, mapping, main = "", alpha = 0.05, ylim, ...,
  environment)

## S3 method for class 'bootMCS'
plot(x, xlab = "p", ylab = "MCS", alpha = 0.05, ylim,
  ...)

## S3 method for class 'bootMCS'
summary(object, alpha = 0.05, ...)

## S3 method for class 'summary.bootMCS'
print(x, ...)

Arguments

X

A matrix of numeric variables.

p

The quantiles at which to evaluate.

x, object

An object of class MCS or bootMCS.

xlab, ylab

Axis labels.

...

Optional arguments to be passed into methods.

data, mapping, main, environment

Arguments to ggplot method.

R

The number of bootstrap samples to run. Defaults to R = 100.

trace

How often to inform the user of progress. Defaults to trace = 10.

alpha

A 100(1 - alpha)% pointwise confidence interval will be produced. Defaults to alpha = 0.05.

ylim

Plotting limits for bootstrap plot.

Details

The method is described in detail by Schmid and Schmidt (2007). The main code was written by Yiannis Papastathopoulos, wrappers written by Harry Southworth.

When the result of a call to bootMCS is plotted, simple quantile bootstrap confidence intervals are displayed.

Value

MCS returns an object of class MCS. There are plot and print methods available for this class.

MCS

The estimated correlations.

p

The quantiles at which the correlations were evaluated at

call

The function call used.

bootMCS returns an object of class bootMCS. There are plot and summary methods available for this class.

replicates

Bootstrap replicates.

p

The quantiles at which the correlations were evaluated at

R

Number of bootstrap samples.

call

The function call used.

Author(s)

Yiannis Papastathopoulos, Harry Southworth

References

F. Schmid and R. Schmidt, Multivariate conditional versions of Spearman's rho and related measures of tail dependence, Journal of Multivariate Analysis, 98, 1123 – 1140, 2007

See Also

chi

Examples

1
2
3
4
5
6
D <- liver[liver$dose == "D",]
plot(D)
# Following lines commented out to keep CRAN happy
#Dmcs <- bootMCS(D[, 5:6])
#Dmcs
#plot(Dmcs)

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.