Sigma.est {lancor} | R Documentation |
Estimate of covariance matrix of the two components of Lancaster correlation. Lancaster correlation is a bivariate measures of dependence.
Sigma.est(xx)
xx |
a matrix or data frame with two columns. |
Sigma.est
returns the estimated covariance matrix.
Hajo Holzmann, Bernhard Klar
Holzmann, Klar (2024) Lancester correlation - a new dependence measure linked to maximum correlation. arXiv:2303.17872
Sigma <- matrix(c(1,0.1,0.1,1), ncol=2)
R <- chol(Sigma)
n <- 1000
x <- matrix(rnorm(n*2), n)
nu <- 8
y <- x / sqrt(rchisq(n, nu)/nu) #multivariate t
Sigma.est(y)