theta2tau, tau2theta | R Documentation |
Kendall's rank correlation coefficient and its inverse.
theta2tau(theta, type) tau2theta(tau, type)
theta |
the dependency parameter. It can be either a scalar, a vector or a matrix and has to lie within a certain interval, i.e. θ \in [1, ∞) for the Gumbel and Joe family, θ \in (0, ∞) for the Clayton and Frank family and θ \in [0, 1) for the Ali-Mikhail-Haq family. |
tau |
Kendall's rank correlation coefficient. It can be either a scalar, a vector or a matrix and it is to ensure, that τ \in [0,1). |
type |
all types are available, see |
# computation of the dependency parameter x = runif(10) theta = tau2theta(x, type = 1) # computation of kendall's tau y = runif(10, 1, 100) tau = theta2tau(y, type = 1)
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