CDVinePar2Tau: Kendall's tau values of a vine copula model
In CDVine: Statistical Inference of C- And D-Vine Copulas

Description Usage Arguments Value Author(s) See Also Examples

This function computes the values of Kendall's tau corresponding to the parameters of a C- or D-vine copula model.

1	CDVinePar2Tau(family, par, par2=rep(0,length(family)))

`family`	A d*(d-1)/2 integer vector of C-/D-vine pair-copula families with values `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)
`par`	A d*(d-1)/2 vector of pair-copula parameters.
`par2`	A d*(d-1)/2 vector of second parameters for pair-copula families with two parameters (t, BB1, BB6, BB7, BB8; default: `par2 = rep(0,length(family))`).

A d*(d-1)/2 vector of theoretical Kendall's tau values corresponding to the given pair-copula families and parameters.

Eike Brechmann

BiCopPar2Tau

# specify the vine
fam3 = c(5,1,3,14,3,2)
par3 = c(0.9,0.3,0.2,1.1,0.2,0.7)
nu3 = c(0,0,0,0,0,7)

# compute the corresponding Kendall's tau values 
tau = CDVinePar2Tau(fam3,par3,nu3)