rho_estim {heterocop}R Documentation

rho_estim

Description

This function enables the user to estimate the correlation matrix of the Gaussian copula for a given dataset

Usage

rho_estim(data, Type, parallel = FALSE)

Arguments

data

an nxd data frame containing n observations of d variables

Type

a vector containing the type of the variables, "C" for continuous and "D" for discrete

parallel

a boolean encoding whether the computations should be parallelized

Value

the dxd estimated correlation matrix of the Gaussian copula

Examples

M <- diag_block_matrix(c(3,4,5),c(0.7,0.8,0.2))
data <- CopulaSim(20,M,c(rep("qnorm(0,1)",6),rep("qexp(0.5)",4),
rep("qbinom(4,0.8)",2)),random=FALSE)[[1]]
rho_estim(data,c(rep("C",10),rep("D",2)))


[Package heterocop version 0.1.0.0 Index]