This function computes the empirical Blomqvist's beta.
BetaMatrix(data)An N x d data matrix.
Matrix of the empirical Blomqvist's betas.
Blomqvist, N. (1950). On a measure of dependence between two random variables. The Annals of Mathematical Statistics, 21(4), 593-600.
Nelsen, R. (2006). An introduction to copulas. Springer
data(daxreturns)
data <- as.matrix(daxreturns)
# compute the empirical Blomqvist's betas
BetaMatrix(data)
#> [,1] [,2] [,3] [,4] [,5] [,6] [,7]
#> [1,] 1.0000000 0.3989637 0.3316062 0.4110535 0.4369603 0.5215889 0.3298791
#> [2,] 0.3989637 1.0000000 0.3972366 0.3419689 0.3989637 0.4110535 0.2746114
#> [3,] 0.3316062 0.3972366 1.0000000 0.3195164 0.3039724 0.3436960 0.2797927
#> [4,] 0.4110535 0.3419689 0.3195164 1.0000000 0.5112263 0.4265976 0.2763385
#> [5,] 0.4369603 0.3989637 0.3039724 0.5112263 1.0000000 0.4386874 0.2884283
#> [6,] 0.5215889 0.4110535 0.3436960 0.4265976 0.4386874 1.0000000 0.3419689
#> [7,] 0.3298791 0.2746114 0.2797927 0.2763385 0.2884283 0.3419689 1.0000000
#> [8,] 0.3160622 0.3540587 0.3143351 0.2279793 0.2746114 0.3005181 0.3022453
#> [9,] 0.1675302 0.2089810 0.1968912 0.2107081 0.1882556 0.1381693 0.2435233
#> [10,] 0.3436960 0.3713299 0.3592401 0.2901554 0.2918826 0.3074266 0.2918826
#> [11,] 0.5423143 0.3557858 0.3264249 0.3402418 0.3834197 0.4093264 0.3108808
#> [12,] 0.2780656 0.3402418 0.2694301 0.2245250 0.2711572 0.2832470 0.3195164
#> [13,] 0.3402418 0.3333333 0.3005181 0.2970639 0.3367876 0.3488774 0.2918826
#> [14,] 0.4594128 0.4490501 0.3540587 0.4300518 0.4490501 0.4956822 0.3074266
#> [15,] 0.2849741 0.2331606 0.1830743 0.3212435 0.3713299 0.2867012 0.1986183
#> [,8] [,9] [,10] [,11] [,12] [,13] [,14]
#> [1,] 0.3160622 0.1675302 0.3436960 0.5423143 0.2780656 0.3402418 0.4594128
#> [2,] 0.3540587 0.2089810 0.3713299 0.3557858 0.3402418 0.3333333 0.4490501
#> [3,] 0.3143351 0.1968912 0.3592401 0.3264249 0.2694301 0.3005181 0.3540587
#> [4,] 0.2279793 0.2107081 0.2901554 0.3402418 0.2245250 0.2970639 0.4300518
#> [5,] 0.2746114 0.1882556 0.2918826 0.3834197 0.2711572 0.3367876 0.4490501
#> [6,] 0.3005181 0.1381693 0.3074266 0.4093264 0.2832470 0.3488774 0.4956822
#> [7,] 0.3022453 0.2435233 0.2918826 0.3108808 0.3195164 0.2918826 0.3074266
#> [8,] 1.0000000 0.2158895 0.2953368 0.2867012 0.5578584 0.2193437 0.3246978
#> [9,] 0.2158895 1.0000000 0.1778929 0.1830743 0.1951641 0.1848014 0.1865285
#> [10,] 0.2953368 0.1778929 1.0000000 0.3005181 0.2677029 0.2435233 0.3488774
#> [11,] 0.2867012 0.1830743 0.3005181 1.0000000 0.2694301 0.2901554 0.4024180
#> [12,] 0.5578584 0.1951641 0.2677029 0.2694301 1.0000000 0.2642487 0.3385147
#> [13,] 0.2193437 0.1848014 0.2435233 0.2901554 0.2642487 1.0000000 0.3799655
#> [14,] 0.3246978 0.1865285 0.3488774 0.4024180 0.3385147 0.3799655 1.0000000
#> [15,] 0.1468048 0.1122625 0.2089810 0.2659758 0.1813472 0.2504318 0.2901554
#> [,15]
#> [1,] 0.2849741
#> [2,] 0.2331606
#> [3,] 0.1830743
#> [4,] 0.3212435
#> [5,] 0.3713299
#> [6,] 0.2867012
#> [7,] 0.1986183
#> [8,] 0.1468048
#> [9,] 0.1122625
#> [10,] 0.2089810
#> [11,] 0.2659758
#> [12,] 0.1813472
#> [13,] 0.2504318
#> [14,] 0.2901554
#> [15,] 1.0000000