Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: pp
See also: plotgt indexfriedmantukey indexentropy indexlegendre indexnaturalhermite

Quantlet: indexhermite
Description: computes the Hermite index via kernel density estimation

Link:
Usage: ind = indexhermite (x, h)
Input:
px n x p matrix
h 1 x p matrix bandwidth
Output:
ind scalar

Example:
; 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
indexhermite(x, 1~1)

Result:
Content of object ind
[1,] 0.000029



Author: S. Klinke, 19971113
(C) MD*TECH Method and Data Technologies, 05.02.2006