VineCopula (version 1.3)

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 (opitional).

Value

• Matrix of the empirical Kendall's taus.

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

BiCopTau2Par, BiCopPar2Tau, BiCopEst

Examples

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

# compute the empirical Kendall's taus
tau = TauMatrix(Data)