edf {QRMlib} | R Documentation |
calculates the empirical distribution function at each element of a vector of observations
edf(v, adjust=FALSE)
v |
a vector |
adjust |
should the denominator be adjusted to be (n+1)? The default is FALSE |
vector of probabilities
data(smi); data(ftse100); TS1 <- window(ftse100, "1990-11-09", "2004-03-25"); TS1Augment <- alignDailySeries(TS1, method="before"); #gives 3490 observations TS2Augment <- alignDailySeries(smi, method="before"); INDEXES.RAW <- merge(TS1Augment,TS2Augment); rm(TS1, TS1Augment, TS2Augment); INDEXES <- mk.returns(INDEXES.RAW); PARTIALINDEXES <- window(INDEXES, "1994-01-01", "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);