rank.multivariate {COST}

multivariate rank of a vector

Description

calculating the multivariate rank of a vector among a set of vectors, used to evaluate the performance of conditional distribution, and the rank would be uniform when the conditional distribution is estimated well

Usage

rank.multivariate(y.test,y.random,seed1)

Arguments

y.test

the observed (verifying) vector at time n+1

y.random

m random draws from the conditional distribution

seed1

random seed to solve tie at random

Value

the multivariate rank of the observed (verifying) vector at time n+1

Author(s)

Yanlin Tang and Huixia Judy Wang

References

Yanlin Tang, Huixia Judy Wang, Ying Sun, Amanda Hering. Copula-based semiparametric models for spatio-temporal data.