KTMatrixEst {ElliptCopulas}  R Documentation 
Estimate Kendall's tau matrix using averaging estimators. Under
the structural assumption that Kendall's tau matrix is blockstructured
with constant values in each offdiagonal block, this function estimates
Kendall's tau matrix “fast”, i.e. in time N n log(n)
,
where N
is the amount of pairs that are averaged.
KTMatrixEst(dataMatrix, blockStructure = NULL, averaging = "no")
dataMatrix 
matrix of size 
blockStructure 
list of vectors.
Each vector corresponds to one group of variables
and contains the indexes of the variables that belongs to this group.

averaging 
type of averaging used for fast estimation. Possible choices are

matrix with dimensions depending on averaging
.
If averaging = no
,
the function returns a matrix of dimension (n,n)
which estimates the Kendall's tau matrix.
Else, the function returns a matrix of dimension
(length(blockStructure) , length(blockStructure))
giving the estimates of the Kendall's tau for each block with ones on the diagonal.
Rutger van der Spek, Alexis Derumigny
# Estimating offdiagonal block Kendall's taus
matrixCov = matrix(c(1 , 0.5, 0.3 ,0.3,
0.5, 1, 0.3, 0.3,
0.3, 0.3, 1, 0.5,
0.3, 0.3, 0.5, 1), ncol = 4 , nrow = 4)
dataMatrix = mvtnorm::rmvnorm(n = 100, mean = rep(0, times = 4), sigma = matrixCov)
blockStructure = list(1:2, 3:4)
KTMatrixEst(dataMatrix = dataMatrix, blockStructure = blockStructure,
averaging = "all")