Library: | pp |
See also: | plotgt indexentropy indexlegendre indexhermite indexnaturalhermite |
Quantlet: | indexfriedmantukey | |
Description: | computes the Friedman Tukey index via kernel density estimation |
Usage: | ind = indexfriedmantukey (x, h) | |
Input: | ||
px | n x p matrix | |
h | 1 x p matrix bandwidth | |
Output: | ||
ind | scalar |
; loads the library pp library("pp") ; initialize random generator randomize(0) ; generate a dataset with mean(x)=0 and cov(x)=I_2 x = normal(922,2) ; compute the index with rule-of-thumb bandwidth indexfriedmantukey(x, 1~1)
Content of object ind [1,] 0.000029