BetaMatrix {VineCopula}

Matrix of Empirical Blomqvist's Beta Values

Description

This function computes the empirical Blomqvist's beta.

Usage

BetaMatrix(data)

Arguments

data

An N x d data matrix.

Value

Matrix of the empirical Blomqvist's betas.

Author(s)

Ulf Schepsmeier

References

Blomqvist, N. (1950). On a measure of dependence between two random variables. The Annals of Mathematical Statistics, 21(4), 593-600.

Nelsen, R. (2006). An introduction to copulas. Springer

See Also

TauMatrix(), BiCopPar2Beta(), RVinePar2Beta()

Examples

data(daxreturns)
data <- as.matrix(daxreturns)

# compute the empirical Blomqvist's betas
BetaMatrix(data)