RDM - Quantify Dependence using Rearranged Dependence Measures
Estimates the rearranged dependence measure ('RDM') of two continuous random variables for different underlying measures. Furthermore, it provides a method to estimate the (SI)-rearrangement copula using empirical checkerboard copulas. It is based on the theoretical results presented in Strothmann et al. (2022) <arXiv:2201.03329> and Strothmann (2021) <doi:10.17877/DE290R-22733>.
Last updated 2 years ago
cpp
2.70 score 3 scripts 193 downloads