IVCLLQ {IVCor}R Documentation

Integrated Variance Correlation with Local Linear Estimation

Description

This function is used to calculate the integrated variance correlation between two random variables with local linear estimation

Usage

IVCLLQ(y, x, K)

Arguments

y

is a numeric vector

x

is a numeric vector

K

is the number of quantile levels

Value

The value of the corresponding sample statistic

Examples

n=100
x=rnorm(n)
y=exp(x)+rnorm(n)

IVCLLQ(y,x,K=4)

[Package IVCor version 0.1.0 Index]