MCS function

Multivariate conditional Spearman's rho

Compute multivariate conditional Spearman's rho over a range of quantiles.

MCS(X, p = seq(0.1, 0.9, by = 0.1))

## S3 method for class 'MCS'
plot(x, xlab = "p", ylab = "MCS", ...)

## S3 method for class 'MCS'
ggplot(data, mapping, main = "", ..., environment)

bootMCS(X, p = seq(0.1, 0.9, by = 0.1), R = 100, trace = 10)

## S3 method for class 'bootMCS'
ggplot(data, mapping, main = "", alpha = 0.05, ylim, ..., environment)

## S3 method for class 'bootMCS'
plot(x, xlab = "p", ylab = "MCS", alpha = 0.05, ylim, ...)

## S3 method for class 'bootMCS'
summary(object, alpha = 0.05, ...)

## S3 method for class 'summary.bootMCS'
print(x, ...)

Arguments

• X: A matrix of numeric variables.
• p: The quantiles at which to evaluate.
• x, object: An object of class MCS or bootMCS.
• xlab, ylab: Axis labels.
• ...: Optional arguments to be passed into methods.
• data, mapping, main, environment: Arguments to ggplot method.
• R: The number of bootstrap samples to run. Defaults to R = 100.
• trace: How often to inform the user of progress. Defaults to trace = 10.
• alpha: A 100(1 - alpha)% pointwise confidence interval will be produced. Defaults to alpha = 0.05.
• ylim: Plotting limits for bootstrap plot.

Returns

MCS returns an object of class MCS. There are plot and print methods available for this class.

• MCS: The estimated correlations. - p: The quantiles at which the correlations were evaluated at - call: The function call used.

bootMCS returns an object of class bootMCS. There are plot and summary methods available for this class.

• replicates: Bootstrap replicates. - p: The quantiles at which the correlations were evaluated at - R: Number of bootstrap samples.

• call: The function call used.

Details

The method is described in detail by Schmid and Schmidt (2007). The main code was written by Yiannis Papastathopoulos, wrappers written by Harry Southworth.

When the result of a call to bootMCS is plotted, simple quantile bootstrap confidence intervals are displayed.

Examples

D <- liver[liver$dose == "D",]
plot(D)

Dmcs <- bootMCS(D[, 5:6])
Dmcs
plot(Dmcs)

References

F. Schmid and R. Schmidt, Multivariate conditional versions of Spearman's rho and related measures of tail dependence, Journal of Multivariate Analysis, 98, 1123 -- 1140, 2007

See Also

chi

Author(s)

Yiannis Papastathopoulos, Harry Southworth