gauss.cor {rococo}

Gauss Rank Correlation Estimator

Description

Compute the Gaussian rank correlation estimate

Usage

gauss.cor(x, y)

Arguments

x

a numeric vector; compulsory argument

y

a numeric vector; compulsory argument; x and y need to have the same length

Details

gauss.cor computes the Gaussian rank correlation estimate for x and y.

Note that gauss.cor only works for x and y being numeric vectors, unlike the classical correlation measures implemented in cor which can also be computed for matrices or data frames.

Value

Upon successful completion, the function returns the Gaussian rank correlation estimate.

Author(s)

Ulrich Bodenhofer

References

https://github.com/UBod/rococo

K. Boudt, J. Cornelissen, and C. Croux (2012). The Gaussian rank correlation estimator: robustness properties. Stat. Comput. 22(2):471-483. DOI: doi:10.1007/s11222-011-9237-0.

See Also

gauss.cor.test

Examples

## create data
f <- function(x) ifelse(x > 0.9, x - 0.9, ifelse(x < -0.9, x + 0.9, 0))
x <- rnorm(25)
y <- f(x) + rnorm(25, sd=0.1)

## compute correlation
gauss.cor(x, y)