computeCBMeasure {RDM} | R Documentation |
Dependence measures for the checkerboard copula
Description
Computes for some underlying measure for the checkerboard copula
.
This measure depends only on the input matrix A.
Usage
computeCBMeasure(A, method = c("spearman", "kendall", "bkr", "dss", "zeta1"))
Arguments
A |
A (possibly non-square) checkerboard mass density. |
method |
Determines the underlying dependence measure. Options include "spearman", "kendall", "bkr", "dss", "chatterjee" and "zeta1". |
Details
This function computes for one of several underlying measures for a given checkerboard copula
.
Most importantly, the value only depends on the (possibly non-square) matrix
and implicitly assumes the form of
given in Strothmann, Dette and Siburg (2022) <arXiv:2201.03329>.
Currently, the following underlying measures are implemented:
"spearman" Implements the concordance measure Spearman's
,
"kendall" Implements the concordance measure Kendall's
,
"bkr" Implements the Blum–Kiefer–Rosenblatt
, also known as the
-Schweizer-Wolff-measure <doi:10.1214/aos/1176345528>,
"dss" Implements the Dette-Siburg-Stoimenov measure of complete dependence <doi:10.1111/j.1467-9469.2011.00767.x>, also known as Chatterjee's
<doi:10.1080/01621459.2020.1758115>,
"zeta1" Implements the
-measure of complete dependence established by W. Trutschnig <doi:10.1016/j.jmaa.2011.06.013>.
Value
The value of . For a sorted A, this corresponds to the rearranged dependence measure
.
Examples
n <- 10
A <- diag(n)/n
computeCBMeasure(A, method="spearman")