EstDep {CopulaInference}

Kendall's tau and Spearman's rho

Description

This function computes Kendall's tau and Spearman's rho for arbitrary data. These are invariant by increasing mappings.

Usage

EstDep(data)

Arguments

data

Matrix or data frame with 2 columns (X,Y). Can be pseudo-observations.

Value

tau

Kendall's tau

rho

Spearman's rho

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=EstDep(simgumbel)