mapping: Mapping of Kendall's tau and copula parameter

In FactorCopula: Factor, Bi-Factor, Second-Order and Factor Tree Copula Models

Mapping of Kendall's tau and copula parameter

Description

Bivariate copulas: mapping of Kendall's tau and copula parameter.

Usage

par2tau(copulaname, cpar)
tau2par(copulaname, tau)

Arguments

copulaname	Choices are “bvn” for BVN, “bvtν” with ν = \{1, …, 9\} degrees of freedom for t-copula, “frk” for Frank, “gum” for Gumbel, “rgum” for reflected Gumbel, “1rgum” for 1-reflected Gumbel, “2rgum” for 2-reflected Gumbel, “joe” for Joe, “rjoe” for reflected Joe, “1rjoe” for 1-reflected Joe, “2rjoe” for 2-reflected Joe, “BB1” for BB1, “rBB1” for reflected BB1, “BB7” for BB7, “rBB7” for reflected BB7, “BB8” for BB8, “rBB8” for reflected BB8, “BB10” for BB10, “rBB10” for reflected BB10.
cpar	Copula parameter(s).
tau	Kendall's tau.

Value

Kendall's tau or copula parameter.

References

Joe H (1997) Multivariate Models and Dependence Concepts. Chapman & Hall, London.

Joe H (2014) Dependence Modeling with Copulas. Chapman & Hall, London.

Joe H (2014) CopulaModel: Dependence Modeling with Copulas. Software for book: Dependence Modeling with Copulas, Chapman & Hall, London 2014.

Examples

# 1-param copulas
#BVN copula
cpar.bvn = tau2par("bvn", 0.5)
tau.bvn = par2tau("bvn", cpar.bvn)

#Frank copula
cpar.frk = tau2par("frk", 0.5)
tau.frk = par2tau("frk", cpar.frk)

#Gumbel copula
cpar.gum = tau2par("gum", 0.5)
tau.gum = par2tau("gum", cpar.gum)

#Joe copula
cpar.joe = tau2par("joe", 0.5)
tau.joe = par2tau("joe", cpar.joe)

# 2-param copulas
#BB1 copula
tau.bb1 = par2tau("bb1", c(0.5,1.5))

#BB7 copula
tau.bb7 = par2tau("bb7", c(1.5,1))

#BB8 copula
tau.bb8 = par2tau("bb8", c(3,0.8))

#BB10 copula
tau.bb10 = par2tau("bb10", c(3,0.8))

FactorCopula documentation built on March 7, 2023, 5:29 p.m.