computeMatrixSignPairs

Compute a matrix giving the concordance or discordance
of each pair of observations.

Provides functions for the estimation of conditional copulas models,
various estimators of conditional Kendall's tau
(proposed in Derumigny and Fermanian (2019a, 2019b, 2020)
<doi:10.1515/demo-2019-0016>,
<doi:10.1016/j.csda.2019.01.013>,
<doi:10.1016/j.jmva.2020.104610>),
test procedures for the simplifying assumption
(proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011>
and Derumigny, Fermanian and Min (2022) <doi:10.1002/cjs.11742>),
and measures of non-simplifyingness
(proposed in Derumigny (2025) <doi:10.48550/arXiv.2504.07704>).

Alexis Derumigny

CondCopulas

Estimation and Inference for Conditional Copula Models

Jean-David Fermanian

Aleksey Min

Rutger van der Spek

computeMatrixSignPairs function

<dl><dt>vectorX1</dt>
<dd>vector of observed data (first coordinate)</dd>
<dt>vectorX2</dt>
<dd>vector of observed data (second coordinate)</dd>
<dt>typeEstCKT</dt>
<dd>if typeEstCKT = 2 or 4, compute the matrix whose term (i,j) is :
 $$1 \{ (X_{i,1} - X_{j,1}) * (X_{i,2} - X_{j,2}) &gt; 0 \}
 - 1 \{ (X_{i,1} - X_{j,1}) * (X_{i,2} - X_{j,2}) &lt; 0 \},$$
 where $1$ is the indicator function.
For <code>typeEstCKT = 1</code> (respectively <code>typeEstCKT = 3</code>)
a negatively biased (respectively positively) matrix is given.</dd></dl>

Arguments

Compute the matrix of signs of pairs — computeMatrixSignPairs

<dl>

<dt>vectorX1</dt>
<dd>vector of observed data (first coordinate)</dd>


<dt>vectorX2</dt>
<dd>vector of observed data (second coordinate)</dd>


<dt>typeEstCKT</dt>
<dd>if typeEstCKT = 2 or 4, compute the matrix whose term (i,j) is :
 $$1 \{ (X_{i,1} - X_{j,1}) * (X_{i,2} - X_{j,2}) &gt; 0 \}
 - 1 \{ (X_{i,1} - X_{j,1}) * (X_{i,2} - X_{j,2}) &lt; 0 \},$$
 where $1$ is the indicator function.
For <code>typeEstCKT = 1</code> (respectively <code>typeEstCKT = 3</code>)
a negatively biased (respectively positively) matrix is given.</dd>

</dl>

computeMatrixSignPairs: Compute the matrix of signs of pairs

Description

Usage

Value

Arguments

Examples