BiCopTau2Par {CDVine} | R Documentation |
This function computes the parameter of a one parameter bivariate copula for a given value of Kendall's tau.
BiCopTau2Par(family, tau)
tau |
Kendall's tau value (numeric in [-1,1]). |
family |
An integer defining the bivariate copula family: |
Parameter corresponding to the bivariate copula family and the value of Kendall's tau (τ).
No. | Parameter |
1, 2 | sin(τ π/2) |
3, 13 | max(0,2τ/(1-τ)) |
4, 14 | max(1,1/(1-τ)) |
5 | no closed form expression (numerical inversion) |
6, 16 | no closed form expression (numerical inversion) |
23, 33 | max(0,2τ/(1+τ)) |
24, 34 | min(-1,-1/(1+τ)) |
26, 36 | no closed form expression (numerical inversion) |
Jakob Stoeber, Eike Brechmann
Joe, H. (1997). Multivariate Models and Dependence Concepts. Chapman and Hall, London.
Czado, C., U. Schepsmeier, and A. Min (2012). Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling, 12(3), 229-255.
## Example 1: Gaussian copula tt1 = BiCopTau2Par(1,0.5) # transform back BiCopPar2Tau(1,tt1) ## Example 2: Clayton copula BiCopTau2Par(3,0.4)