corQn: Robust correlation between the variables 'x' and 'y'

In tsqn: Applications of the Qn Estimator to Time Series (Univariate and Multivariate)

Description

Computes the robust correlation of x and y proposed by Ma and Genton (2001) using the robust scale Qn of Rousseeuw and Croux (1993).

Usage

corQn(x, y)

Arguments

x	a numeric vector
y	a numeric vector

Value

a numerical value with the robust correlation between x and y

References

Ma, Y. and Genton, M. G. (2001) Highly robust estimation of dispersion matrices. Journal of Multivariate Analysis, 78, 11–36.

Rousseeuw, P. J. and Croux, C. (1993) Alternatives to the median absolute deviation. Journal of the American Statistical Association, 88, 1273–1283.

Examples

corQn(rnorm(100),rnorm(100))

tsqn documentation built on May 2, 2019, 7:43 a.m.