rho_estim {heterocop}R Documentation

rho_estim

Description

This function enables the user to estimate the correlation matrix of the Gaussian copula for a given dataset

Usage

rho_estim(data, Type, ncores = 1)

Arguments

data

an nxd data frame containing n observations of d variables

Type

a vector containing the type of the variables, "C" for continuous and "D" for discrete

ncores

an integer specifying the number of cores to be used for parallel computation. "1" by default, leading to non-parallel computation.

Value

the dxd estimated correlation matrix of the Gaussian copula

Examples

M <- diag_block_matrix(c(3,4,5),c(0.7,0.8,0.2))
data <- CopulaSim(20,M,c(rep("qnorm(0,1)",6),rep("qexp(0.5)",4),
rep("qbinom(4,0.8)",2)),random=FALSE)[[1]]
rho_estim(data,c(rep("C",10),rep("D",2)))


[Package heterocop version 1.0.0 Index]