EstDep {MixedIndTests}

Kendall's tau and Spearman's rho statistics for testing independence between random variables

Description

This function computes the matrix of pairs of Kendall's tau and Spearman's rho statistics between random variables with arbitrary distributions.

Usage

EstDep(x, graph = FALSE)

Arguments

x

Data matrix

graph

Set to TRUE for a dependogram for all pairs of Kendall's taus and Spearman's rhos.

Value

stat

List of Kendall's tau and Spearman's rho statistics from multilinear copula, and test combinations LB

pvalue

P-values for the tests statistics

References

Genest, Neslehova, Remillard & Murphy (2018). Testing for independence in arbitrary distributions

Examples

x <- matrix(rnorm(500),ncol=10)
out <-EstDep(x)