qc {QCSIS}

Quantile Correlation

Description

qc is used to compute the quantile correlation with given quantiles.

Usage

qc(x, y, tau)

Arguments

x

The covariate variable.

y

The response variable.

tau

The quantile(s) to be estimated.

Value

tau

The quantile(s).

rho

The value of quantile correlation.

Author(s)

Xuejun Ma, Jingxiao Zhang, Jingke Zhou

References

Li et al.. Quantile correlations and quantile autoregressive modeling. Journal of the American Statistical Association,2015,110(509):246–261.

Examples

n   <- 1000
x   <- rnorm(n)
y   <- 2 * x + rt(n,df = 1)
tau <- 1:9 / 10
qc(x = x, y = y, tau = tau)