computeMatrixSignPairs {CondCopulas}

Compute the matrix of signs of pairs

Description

Compute a matrix giving the concordance or discordance of each pair of observations.

Usage

computeMatrixSignPairs(vectorX1, vectorX2, typeEstCKT = 4)

Arguments

vectorX1

vector of observed data (first coordinate)

vectorX2

vector of observed data (second coordinate)

typeEstCKT

if typeEstCKT = 2 or 4, compute the matrix whose term (i,j) is :

1 \{ (X_{i,1} - X_{j,1}) * (X_{i,2} - X_{j,2}) > 0 \} - 1 \{ (X_{i,1} - X_{j,1}) * (X_{i,2} - X_{j,2}) < 0 \},

where 1 is the indicator function.

For typeEstCKT = 1 (respectively typeEstCKT = 3) a negatively biased (respectively positively) matrix is given.

Value

an n * n matrix with the signs of each pair of observations.

Examples

# We simulate from a conditional copula
N = 500
Z = rnorm(n = N, mean = 5, sd = 2)
conditionalTau = 0.9 * pnorm(Z, mean = 5, sd = 2)
simCopula = VineCopula::BiCopSim(N = N , family = 3,
    par = VineCopula::BiCopTau2Par(1 , conditionalTau) )
matrixPairs = computeMatrixSignPairs(vectorX1 = simCopula[,1],
                                     vectorX2 = simCopula[,2])