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TauMatrix

Matrix of Empirical Kendall's Tau Values

Description

This function computes the empirical Kendall's tau using the algorithm by Knight (1966).

Usage

TauMatrix(data, weights = NA)

Arguments

data

An N x d data matrix.
weights

Numerical; weights for each observation (optional).

Value

Matrix of the empirical Kendall's taus.

Author(s)

Ulf Schepsmeier

References

Knight, W. R. (1966). A computer method for calculating Kendall's tau with ungrouped data. Journal of the American Statistical Association 61 (314), 436-439.

See Also

Examples

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

# compute the empirical Kendall's taus
TauMatrix(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

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