VineCopula (version 1.3)

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.

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

TauMatrix, BiCopPar2Beta, RVinePar2Beta

Examples

data(daxreturns)
Data = as.matrix(daxreturns)

# compute the empirical Blomqvist's betas
beta = BetaMatrix(Data)