EstDep {CopulaInference} | R Documentation |
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)
[Package CopulaInference version 0.5.0 Index]