stat_dep {MixedIndTests} | R Documentation |
Computes the Kendall's taus and Spearman's rho for tests of randomness
Description
This function Computes the Kendall's taus and Spearman's rho for tests of independence used in EstDep
Usage
stat_dep(x, y)
Arguments
x |
Vector of length n |
y |
Vector of length n |
Value
tau |
Kendall's taus for lags 1:lag |
rho |
Spearman's rhos for lags 1:lag |
s2 |
Estimated variance of Spearman's rho |
References
Genest, Neslehova, & Remillard (2017). Asymptotic behavior of the empirical multilinear copula process under broad conditions
Examples
x <- SimAR1Poisson(c(5,0.2),100)
y <- SimAR1Poisson(c(5,0.2),100)
out <- stat_dep(x,y)
[Package MixedIndTests version 1.2.0 Index]