bivdepmeas: Kendall's tau, Spearman's rho and normal scores correlation...

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Kendall's tau, Spearman's rho and normal scores correlation for a bivariate copula

Usage

ktau(cpar,icond=T,pcond12,pcond21,zero=0,dcop,pcop,B=6,tol=0.0001)
rhoS(cpar,cop,zero=0,icond=F,tol=0.0001)
rhoN(cpar,icond=T,pcond,icdf=F,pcop,dcop,B=6,tol=0.0001)

Arguments

cpar	copula parameter: scalar or vector
icond	if T, numerical integration via conditional cdf of copula; otherwise via the copula cdf for rhoS and copula cdf/pdf for tau, rhoN
icdf	if T, numerical integration via the cdf and Hoeffding's identity, otherwise via the pdf (for rhoN)
pcond12	function for C_{1|2}(u|v)
pcond21	function for C_{2|1}(v|u)
pcond	function for C_{2|1}(v|u), for rhoN
cop	for rhoS, copula conditional cdf if icond=T, and bivariate copula cdf if icond=F
zero	boundary is [zero,1-zero]^2 for integration, default is 0, but choose smething like zero=1.e-6 if there is a boundary problem
dcop	function for bivariate copula density, needed if icond=F
pcop	function for bivariate copula cdf, needed if icond=F
B	upper limit for integration over [0,B]^2 with respect to normal density if icond=F
tol	desired accuracy for numerical integration, default 0.0001

Value

depmeas

dependence measure with value in (-1,1)

See Also

depmeasAsympVar

Examples

cpar=2
tau=ktau(cpar,pcond12=pcondpla,pcond21=pcondpla,zero=0)
spear=rhoS(cpar,cop=pfrk,zero=0)
rhoz=rhoN(cpar,pcond=pcondfrk)

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.