lmomco (version 0.88)

Lcomoment.correlation: L-correlation Matrix (L-correlation through Sample L-comoments)

Description

Compute the L-correlation from an L-comoment matrix of order $k = 2$. This function assumes that each matrix is already computed by the function Lcomoment.matrix.

Usage

Lcomoment.correlation(L2)

Arguments

L2

A $k = 2$ L-comoment matrix from Lcomoment.matrix(Dataframe,k=2).

Value

• An R list is returned.
• type
  The type of L-comoment representation in the matrix: Lcomoment.coefficients.
• order
  The order of the matrix---extracted from the first matrix in arguments.
• matrix
  A $k \ge 2$ L-comoment coefficient matrix.

source

Serfling and Xiao (2006).

Details

L-correlation is computed by Lcomoment.coefficients(L2,L2) where L2 is second order L-comoment matrix. The usual L-scale values as seen from lmom.ub or lmoms are along the diagonal. This function does not make use of lmom.ub or lmoms and can be used to verify computation of $\tau$ (coefficient of L-variation).

References

Serfling, R., and Xiao, P., 2006, Multivariate L-moments, preprint.

See Also

lmom.ub, Lcomoment.matrix, Lcomoment.correlation

Examples

D   <- data.frame(X1=rnorm(30),X2=rnorm(30),X3=rnorm(30))
L2  <- Lcomoment.matrix(D,k=2)
RHO <- Lcomoment.correlation(L2)