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)

Arguments

family

An integer defining the bivariate copula family: 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank

par

Copula parameter.

par2

Second parameter for the two parameter BB1, BB6, BB7 and BB8 copulas (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-copul

Value

Theoretical value of Kendall's tau corresponding to the bivariate copula family and parameter(s) ($\theta$ for one parameter families and the first parameter of the t-copula, $\theta$ and $\delta$ for the two parameter BB1, BB6, BB7 and BB8 copulas). ll{ No. Kendall's tau 1, 2 $\frac{2}{\pi}\arcsin(\theta)$ 3, 13 $\frac{\theta}{\theta+2}$ 4, 14 $1-\frac{1}{\theta}$ 5 $1-\frac{4}{\theta}+4\frac{D_1(\theta)}{\theta}$ with $D_1(\theta)=\int_0^\theta \frac{x/\theta}{\exp(x)-1}dx$ (Debye function) 6, 16 $1+\frac{4}{\theta^2}\int_0^1 x\log(x)(1-x)^{2(1-\theta)/\theta}dx$ 7, 17 $1-\frac{2}{\delta(\theta+2)}$ 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 $1+4\int_0^1 ( (1-(1-t)^{\theta})^{-\delta} - )/( -\theta\delta(1-t)^{\theta-1}(1-(1-t)^{\theta})^{-\delta-1} ) dt$ 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 $\frac{\theta}{2-\theta}$ 24, 34 $-1-\frac{1}{\theta}$ 26, 36 $-1-\frac{4}{\theta^2}\int_0^1 x\log(x)(1-x)^{-2(1+\theta)/\theta}dx$ 27, 37 $-1-\frac{2}{\delta(2-\theta)}$ 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 $-1-4\int_0^1 ( (1-(1-t)^{-\theta})^{\delta} - )/( -\theta\delta(1-t)^{-\theta-1}(1-(1-t)^{-\theta})^{\delta-1} ) dt$ 30, 40 $-1-4\int_0^1 -\log \left( ((1+t\delta)^{-\theta}-1)/((1+\delta)^{-\theta}-1) \right)$ $* (1+t\delta-(1+t\delta)^{\theta}-(1+t\delta)^{\theta}t\delta)/(\theta\delta) dt$ }

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.

Examples

Run this code

## Example 1: Gaussian copula
tt1 = BiCopPar2Tau(1,0.7)

# transform back
BiCopTau2Par(1,tt1)


## Example 2: Clayton copula
BiCopPar2Tau(3,1.3)