covariance: Calculates the covariance matrix of the normally standardized...

In ecor/RMAWGEN: Multi-Site Auto-Regressive Weather GENerator

Calculates the covariance matrix of the normally standardized variables obtained from the columns of x

Description

Calculates the covariance matrix of the normally standardized variables obtained from the columns of x

Usage

covariance(
  x,
  data = x,
  cpf = NULL,
  mean = 0,
  sd = 1,
  step = NULL,
  prec = 10^-4,
  use = "pairwise.complete.obs",
  type = 3,
  extremes = TRUE,
  sample = NULL,
  origin_x = NULL,
  origin_data = origin_x
)

Arguments

x	variable
data	a sample of data on which a non-parametric pghjjrobability distribution is estimated
cpf	cumulative probability distribution. If NULL (default) is calculated as ecdf(data)
mean	mean (expected value) of the normalized random variable. Default is 0.
sd	standard deviation of the normalized random variable. Default is 1.
step	vector of values in which step discontinuities of the cumulative probability function occur. Default is NULL
prec	amplitude of the neighbourhood of the step discontinuities where cumulative probability function is treated as non continuous.
use	see cov
type	see quantile
extremes	logical variable. If TRUE (default) the probability or frequency is multiplied by \frac{N}{N+1} where N is the length of data
sample	information about sample or probability distribution. Default is NULL
origin_x	date corresponding to the first row of x
origin_data	date corresponding to the first row of data

Value

a matrix with the normalized variable or its inverse

Author(s)

Emanuele Cordano, Emanuele Eccel

See Also

normalizeGaussian_severalstations,normalizeGaussian

@note It applies normalizeGaussian_severalstations to x and data and then calculates the covariances among the column. See the R code for further details

ecor/RMAWGEN documentation built on Jan. 4, 2024, 5:56 p.m.