copent (version 0.5)

construct_empirical_copula: Construct empirical copula by rank statistic

Description

Construct empirical copula by rank statistic.

Usage

construct_empirical_copula(x)

Value

The function returns the estimated empirical copula of data x.

Arguments

x

the data with each row as a sample

Details

This program involves estimating empirical copula from data by rank statistic nonparametrically. It was proposed in Ma and Sun (2008, 2011). The algorithm is the first step of estimating copula entropy copent.

The argument x is for the data with each row as a sample from random variables.

References

Ma, J., & Sun, Z. (2011). Mutual information is copula entropy. Tsinghua Science & Technology, 16(1): 51-54. See also ArXiv preprint, arXiv: 0808.0845, 2008.

Examples

library(mnormt)
rho <- 0.5
sigma <- matrix(c(1,rho,rho,1),2,2)
x <- rmnorm(500,c(0,0),sigma)
xc1 <- construct_empirical_copula(x)