Kendall {QRMlib}R Documentation

Kendall's Rank Correlation

Description

calculates a matrix of Kendall's rank correlations

Usage

Kendall(data, noforce=TRUE)

Arguments

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)

Details

see pages 229-230 in QRM

Value

matrix of rank correlations

See Also

Spearman, fit.tcopula.rank

Examples

data <- rmnorm(1000,d=3,rho=0.5); 
Kendall(data); 

[Package QRMlib version 1.4.4 Index]