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 indexhermite indexnaturalhermite

Quantlet: indexlegendre
Description: computes the Legendre index via kernel density estimation

Link:
Usage: ind = indexlegendre (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

indexlegendre(x, 1~1)

Result:

Content of object ind

[1,] 0.000029


Library: pp
See also: plotgt indexfriedmantukey indexentropy indexhermite indexnaturalhermite

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

Author: Sigbert Klinke, 971113
(C) MD*TECH Method and Data Technologies, 21.9.2000