R Graphical Manual

Browse All

Last data update: 2014.03.03

R: Matrix of Empirical Kendall's Tau Values

TauMatrix

R Documentation

Matrix of Empirical Kendall's Tau Values

Description

This function computes the empirical Kendall's tau using the algorithm by Knight (1966).

Usage

TauMatrix(data, weights = NA)

Arguments

`data`	An N x d data matrix.
`weights`	Numerical; weights for each observation (opitional).

Value

Matrix of the empirical Kendall's taus.

Author(s)

Ulf Schepsmeier

References

Knight, W. R. (1966). A computer method for calculating Kendall's tau with ungrouped data. Journal of the American Statistical Association 61 (314), 436-439.

Examples


data(daxreturns)
Data <- as.matrix(daxreturns)

# compute the empirical Kendall's taus
TauMatrix(Data)