edf {QRMlib}R Documentation

Empirical Distribution Function

Description

calculates the empirical distribution function at each element of a vector of observations

Usage

edf(v, adjust=FALSE)

Arguments

v a vector
adjust should the denominator be adjusted to be (n+1)? The default is FALSE

Value

vector of probabilities

Examples

## Not run: 
data(INDEXES.RAW);
INDEXES <- mk.returns(INDEXES.RAW);
PARTIALINDEXES <- cut(INDEXES, "1993-12-31", "2003-12-31");
#Now create a data matrix from the just-created timeSeries 
data <- seriesData(PARTIALINDEXES);
#Keep only the data items which are non-zero for both smi and ftse100
data <- data[data[,1]!=0 & data[,2] !=0,];
# Construct pseudo copula data. The 2nd parameter is MARGIN=2 
#when applying to columns and 1 applied to rows. Hence this says to
#apply the 'edf()' empirical distribtion function() to the columns
#of the data. 
Udata <- apply(data,2,edf,adjust=1);
plot(Udata);
## End(Not run)

[Package QRMlib version 1.4 Index]