VineCopula (version 2.1.1)

BiCopPar2Tau: Kendall's Tau Value of a Bivariate Copula

Description

This function computes the theoretical Kendall's tau value of a bivariate copula for given parameter values.

Usage

BiCopPar2Tau(family, par, par2 = 0, obj = NULL, check.pars = TRUE)

Arguments

family

integer; single number or vector of size m; defines the bivariate copula family: 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 7 = BB1 copula 8 = BB6 copula 9 = BB7 copula 10 = BB8 copula 13 = rotated Clayton copula (180 degrees; ``survival Clayton'') 14 = rotated Gumbel copula (180 degrees; ``survival Gumbel'') 16 = rotated Joe copula (180 degrees; ``survival Joe'') 17 = rotated BB1 copula (180 degrees; ``survival BB1'') 18 = rotated BB6 copula (180 degrees; ``survival BB6'') 19 = rotated BB7 copula (180 degrees; ``survival BB7'') 20 = rotated BB8 copula (180 degrees; ``survival BB8'') 23 = rotated Clayton copula (90 degrees) 24 = rotated Gumbel copula (90 degrees) 26 = rotated Joe copula (90 degrees) 27 = rotated BB1 copula (90 degrees) 28 = rotated BB6 copula (90 degrees) 29 = rotated BB7 copula (90 degrees) 30 = rotated BB8 copula (90 degrees) 33 = rotated Clayton copula (270 degrees) 34 = rotated Gumbel copula (270 degrees) 36 = rotated Joe copula (270 degrees) 37 = rotated BB1 copula (270 degrees) 38 = rotated BB6 copula (270 degrees) 39 = rotated BB7 copula (270 degrees) 40 = rotated BB8 copula (270 degrees) 104 = Tawn type 1 copula 114 = rotated Tawn type 1 copula (180 degrees) 124 = rotated Tawn type 1 copula (90 degrees) 134 = rotated Tawn type 1 copula (270 degrees) 204 = Tawn type 2 copula 214 = rotated Tawn type 2 copula (180 degrees) 224 = rotated Tawn type 2 copula (90 degrees) 234 = rotated Tawn type 2 copula (270 degrees)

par

numeric; single number or vector of size n; copula parameter.

par2

numeric; single number or vector of size n; second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: par2 = 0). Note that the degrees of freedom parameter of the t-copula does not need to be set, because the theoretical Kendall's tau value of the t-copula is independent of this choice.

obj

BiCop object containing the family and parameter specification.

check.pars

logical; default is TRUE; if FALSE, checks for family/parameter-consistency are ommited (should only be used with care).

Value

Theoretical value of Kendall's tau (vector) corresponding to the bivariate copula family and parameter vector $(\theta, \delta) =$ (par, par2).

No. (family)
Kendall's tau (tau)
1, 2
$2 / \pi arcsin(\theta)$
3, 13
$\theta / (\theta+2)$
4, 14
$1-1/\theta$
5
$1-4/\theta + 4 D_1(\theta)/\theta$
with $D_1(\theta)= \int_0^\theta (x/\theta)/(exp(x)-1)dx$ (Debye function)
6, 16
$1+4/\theta^2\int_0^1 x\log(x)(1-x)^{2(1-\theta)/\theta}dx$
7, 17
$1-2/(\delta(\theta+2))$
8, 18
$1+4\int_0^1 -\log(-(1-t)^\theta+1) (1-t-(1-t)^{-\theta}+(1-t)^{-\theta}t)/(\delta\theta) dt$
9, 19
$1+4\int_0^1 ( (1-(1-t)^{\theta})^{-\delta} - 1) /( -\theta\delta(1-t)^{\theta-1}(1-(1-t)^{\theta})^{-\delta-1} ) dt$
10, 20
$1+4\int_0^1 -\log \left(((1-t\delta)^\theta-1)/((1-\delta)^\theta-1) \right) $
$* (1-t\delta-(1-t\delta)^{-\theta}+(1-t\delta)^{-\theta}t\delta)/(\theta\delta) dt$
23, 33
$\theta/(2-\theta)$
24, 34
$-1-1/\theta$
26, 36
$-1-4/\theta^2 \int_0^1 x\log(x)(1-x)^{-2(1+\theta)/\theta}dx$
27, 37
$1-2/(\delta(\theta+2))$
28, 38
$-1-4\int_0^1 -\log(-(1-t)^{-\theta}+1) (1-t-(1-t)^{\theta}+(1-t)^{\theta}t)/(\delta\theta) dt$
29, 39
$-1-4\int_0^1 ( (1-(1-t)^{-\theta})^{\delta} - 1) /( -\theta\delta(1-t)^{-\theta-1}(1-(1-t)^{-\theta})^{\delta-1} ) dt$
30, 40
$-1-4\int_0^1 -\log \left( ((1+t\delta)^{-\theta}-1)/((1+\delta)^{-\theta}-1) \right)$
$* (1+t\delta-(1+t\delta)^{\theta}-(1+t\delta)^{\theta}t\delta)/(\theta\delta) dt$
104,114
$\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt$
with $A(t) = (1-\delta)t+[(\delta(1-t))^{\theta}+t^{\theta}]^{1/\theta}$
204,214
$\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt$
with $A(t) = (1-\delta)(1-t)+[(1-t)^{-\theta}+(\delta t)^{-\theta}]^{-1/\theta}$
124,134
$-\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt$
with $A(t) = (1-\delta)t+[(\delta(1-t))^{-\theta}+t^{-\theta}]^{-1/\theta}$
224,234
$-\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt$
with $A(t) = (1-\delta)(1-t)+[(1-t)^{-\theta}+(\delta t)^{-\theta}]^{-1/\theta}$

Details

If the family and parameter specification is stored in a BiCop object obj, the alternative version

BiCopPar2Tau(obj)

can be used.

References

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.

See Also

BiCopTau2Par, BiCop

Examples

## Example 1: Gaussian copula
tau0 <- 0.5
rho <- BiCopTau2Par(family = 1, tau = tau0)
# transform back
tau <- BiCopPar2Tau(family = 1, par = rho)
tau - 2/pi*asin(rho)

## Example 2:
vpar <- seq(from = 1.1, to = 10, length.out = 100)
tauC <- BiCopPar2Tau(family = 3, par = vpar)
tauG <- BiCopPar2Tau(family = 4, par = vpar)
tauF <- BiCopPar2Tau(family = 5, par = vpar)
tauJ <- BiCopPar2Tau(family = 6, par = vpar)
plot(tauC ~ vpar, type = "l", ylim = c(0,1))
lines(tauG ~ vpar, col = 2)
lines(tauF ~ vpar, col = 3)
lines(tauJ ~ vpar, col = 4)

## Example 3: different copula families
theta <- BiCopTau2Par(family = c(3,4,6), tau = c(0.4, 0.5, 0.6))
BiCopPar2Tau(family = c(3,4,6), par = theta)