Kendall {QRMlib} | R Documentation |
calculates a matrix of Kendall's rank correlations
Kendall(data, noforce=TRUE)
data |
data matrix |
noforce |
must be set to FALSE if you really want to calculate Kendall's rank correlations for more than 5000 data (which will be slow) |
see pages 229-230 in QRM
matrix of rank correlations
data <- rmnorm(1000,d=3,rho=0.5); Kendall(data);