Tau2Rho: Spearman's rho
In HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness of Fit
Description
Usage
Arguments
Value
Description
This function estimates the Spearman's rho corresponding to a constrainted (matlab) parameter theta for a copula family.
Usage
1
Arguments
family
'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel'
theta
parameter of the copula according to CRAN copula package (except for Frank copula, where theta = log(theta_R_Package))
Value
rho
estimated Spearman's rho
HMMcopula documentation built on April 21, 2020, 9:05 a.m.
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Description Usage Arguments Value
Description
This function estimates the Spearman's rho corresponding to a constrainted (matlab) parameter theta for a copula family.
Usage
1 |
Arguments
family |
'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel' |
theta |
parameter of the copula according to CRAN copula package (except for Frank copula, where theta = log(theta_R_Package)) |
Value
rho |
estimated Spearman's rho |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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