QRM: Kendall – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Kendall

Kendall's Rank Correlation

Description

Calculates Kendall's rank correlations. The function is a wrapper to cor().

Usage

Kendall(data, ...)

Arguments

`data`	`matrix` or `data.frame`.
`...`	ellipsis, arguments are passed down to `cor()`

Value

matrix

Examples

S <- equicorr(d = 3, rho = 0.5)
data <- rmnorm(1000, Sigma = S) 
Kendall(data)

QRM

Provides R-Language Code to Examine Quantitative Risk Management Concepts

v0.4-31

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Marius Hofert [ctb], Alexander McNeil [aut] (S-Plus original (QRMlib)), Scott Ulmann [trl] (First R port as package QRMlib)

Initial release

2020-02-15