IVCor (version 0.1.0)

IVC: Integrated Variance Correlation

Description

This function is used to calculate the integrated variance correlation between two random variables or between a random variable and a multivariate random variable

Usage

IVC(y, x, K, NN = 3, type)

Value

The value of the corresponding sample statistic

Arguments

y

is a numeric vector

x

is a numeric vector or a data matrix

K

is the number of quantile levels

NN

is the number of B spline basis, default is 3

type

is an indicator for measuring linear or nonlinear correlation, "linear" represents linear correlation and "nonlinear" represents linear or nonlinear correlation using B splines

Examples

# linear model
n=100
x=rnorm(n)
y=3*x+rnorm(n)

IVC(y,x,K=5,type="linear")
# nonlinear model
n=100
p=3
x=matrix(NA,nrow=n,ncol=p)
for(i in 1:p){
 x[,i]=rnorm(n)
}
y=cos(x[,1]+x[,2])+x[,3]^2+rnorm(n)
IVC(y,x,K=5,type="nonlinear")