emp.transf {multivariance}

Monte Carlo empirical transform

Description

Transforms a matrix (rows: samples, columns: variables) into a matrix of uniform samples with the same dependence structure via the Monte Carlo empirical transform.

Usage

emp.transf(x, continuous = FALSE)

Arguments

x

data matrix (rows: samples, columns: variables)

continuous

boolean, if TRUE it provides the classical (non-Monte-Carlo) transformation by the empirical distribution function, which is a reasonable choice for data of continuous distributions.

References

For the theoretic background see the reference [5] given on the main help page of this package: multivariance-package.