TauMatrix

data

Numerical; weights for each observation (optional).

weights

This function computes the empirical Kendall's tau using the algorithm by
Knight (1966).

Provides tools for the statistical analysis of regular vine copula
models, see Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001> and
Dissman et al. (2013) <doi:10.1016/j.csda.2012.08.010>.
The package includes tools for parameter estimation, model selection,
simulation, goodness-of-fit tests, and visualization. Tools for estimation,
selection and exploratory data analysis of bivariate copula models are also
provided.

Thomas Nagler

VineCopula

Statistical Inference of Vine Copulas

Ulf Schepsmeier

Jakob Stoeber

Eike Christian Brechmann

Benedikt Graeler

Tobias Erhardt

Carlos Almeida

Aleksey Min

Claudia Czado

Mathias Hofmann

Matthias Killiches

Harry Joe

Thibault Vatter

TauMatrix function

<dl><dt>data</dt>
<dd>An N x d data matrix.</dd>
<dt>weights</dt>
<dd>Numerical; weights for each observation (optional).</dd></dl>

Arguments

Author

Matrix of Empirical Kendall's Tau Values — TauMatrix

<dl>

<dt>data</dt>
<dd>An N x d data matrix.</dd>


<dt>weights</dt>
<dd>Numerical; weights for each observation (optional).</dd>

</dl>

Matrix of Empirical Kendall's Tau Values

TauMatrix: Matrix of Empirical Kendall's Tau Values

Description

Usage

Value

Arguments

Author

References

See Also

Examples