AuxFun {CopulaInference}

Auxiliary functions

Description

This function computes the empirical margins, their left-limits, Kendall's tau and Spearman's rho for arbitrary data. Slower than AuxFunC based on C.

Usage

AuxFun(data)

Arguments

data

Matrix (x,y) of size n x 2

Value

tau

Kendall's tau

rho

Spearman's rho

Fx

Empirical cdf of x

Fxm

Left-limit of the empiricial cdf of x

Fy

Empirical cdf of y

Fym

Left-limit of the empiricial cdf of y

References

Nasri (2022). Test of serial dependence for arbitrary distributions. JMVA

Nasri & Remillard (2023). Tests of independence and randomness for arbitrary data using copula-based covariances, arXiv 2301.07267.

Examples

data(simgumbel)
out=AuxFun(simgumbel)