theta2tau

tau2theta

Kendall's rank correlation coefficient and its inverse.

theta2tau, tau2theta

Package provides the estimation of the structure and the parameters, sampling methods and structural plots of Hierarchical Archimedean Copulae (HAC).

Gong Chen

Estimation, Simulation and Visualization of Hierarchical
Archimedean Copulae (HAC)

Ostap Okhrin

Alexander Ristig

theta2tau, tau2theta function

<dl> <dt>theta</dt>
<dd>the dependency parameter. It can be either a scalar, a vector or a matrix and has to lie within a certain interval, i.e. \(\theta \in [1, \infty)\) for the Gumbel and Joe family, \(\theta \in (0, \infty)\) for the Clayton and Frank family and \(\theta \in [0, 1)\) for the Ali-Mikhail-Haq family.</dd><dt>tau</dt>
<dd>Kendall's rank correlation coefficient. It can be either a scalar, a vector or a matrix and it is to ensure, that \(\tau \in [0,1)\).</dd> <dt>type</dt>
<dd>all types are available, see <code>phi</code> for an overview of implemented families.</dd></dl>

Arguments

Kendall's rank correlation coefficient — theta2tau, tau2theta

<dl>

 <dt>theta</dt>
<dd>the dependency parameter. It can be either a scalar, a vector or a matrix and has to lie within a certain interval, i.e. \(\theta \in [1, \infty)\) for the Gumbel and Joe family, \(\theta \in (0, \infty)\) for the Clayton and Frank family and \(\theta \in [0, 1)\) for the Ali-Mikhail-Haq family.</dd>

<dt>tau</dt>
<dd>Kendall's rank correlation coefficient. It can be either a scalar, a vector or a matrix and it is to ensure, that \(\tau \in [0,1)\).</dd>

 <dt>type</dt>
<dd>all types are available, see <code>phi</code> for an overview of implemented families.</dd>

</dl>

theta2tau, tau2theta: Kendall's rank correlation coefficient

Description

Usage

Arguments

Examples