Description Usage Arguments Value Author(s) References See Also Examples

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

1 | ```
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.

1 2 3 4 5 6 7 8 9 | ```
## Example 1: Gaussian copula
tt1 = BiCopTau2Par(1,0.5)
# transform back
BiCopPar2Tau(1,tt1)
## Example 2: Clayton copula
BiCopTau2Par(3,0.4)
``` |

CDVine documentation built on May 30, 2017, 12:18 a.m.

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