Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!
Get Started for Free

BetaMatrix

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

Examples

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

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

Statistical Inference of Vine Copulas

v2.4.1
GPL (>= 2)
Authors
Thomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]
Initial release

We don't support your browser anymore

Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.