weightedStretchedKendallStar_matrix: weightedStretchedKendallStar_matrix

In shazanfar/DCARS: Differential Correlation across Ranked Samples

Description

The weightedStretchedKendallStar_matrix function calculates the stretched weighted Tau*, where where Tau* is described in Pimentel et al (2015) doi: 10.1016/j.spl.2014.09.002, and upper and lower bounds given in Denuit et al (2017) doi: 10.1016/j.spl.2017.03.005

Usage

weightedStretchedKendallStar_matrix(x, y, W, stretch = TRUE)

Arguments

x	numeric vector of non-negative data x
y	numeric vector of non-negative data y
W	weight matrix, same columns as length x and y
stretch	logical default TRUE, whether to stretch based on calculated upper and lower bounds

Value

vector of weighted correlations for the sequence of weights given

Examples

x = pmax(0,rnorm(100))
y = pmax(0,rnorm(100))
W = weightMatrix(100)
wcor = weightedStretchedKendallStar_matrix(x, y, W)

shazanfar/DCARS documentation built on Oct. 14, 2020, 11:11 a.m.