rank.multivariate {COST} | R Documentation |
calculating the multivariate rank of a vector among a set of vectors, used to evaluate the performance of conditional distribution, and the rank would be uniform when the conditional distribution is estimated well
rank.multivariate(y.test,y.random,seed1)
y.test |
the observed (verifying) vector at time n+1 |
y.random |
m random draws from the conditional distribution |
seed1 |
random seed to solve tie at random |
the multivariate rank of the observed (verifying) vector at time n+1
Yanlin Tang and Huixia Judy Wang
Yanlin Tang, Huixia Judy Wang, Ying Sun, Amanda Hering. Copula-based semiparametric models for spatio-temporal data.