Sigma.est {lancor}

Covariance matrix of components of Lancaster correlation coefficient.

Description

Estimate of covariance matrix of the two components of Lancaster correlation. Lancaster correlation is a bivariate measures of dependence.

Usage

Sigma.est(xx)

Arguments

xx

a matrix or data frame with two columns.

Value

⁠Sigma.est⁠ returns the estimated covariance matrix.

Author(s)

Hajo Holzmann, Bernhard Klar

References

Holzmann, Klar (2024) Lancester correlation - a new dependence measure linked to maximum correlation. arXiv:2303.17872

See Also

lcor.ci

Examples

Sigma <- matrix(c(1,0.1,0.1,1), ncol=2)
R <- chol(Sigma)
n <- 1000
x <- matrix(rnorm(n*2), n) 
nu <- 8
y <- x / sqrt(rchisq(n, nu)/nu) #multivariate t
Sigma.est(y)