BiCopPar2Tau: Kendall's Tau Value of a Bivariate Copula

In VineCopula: Statistical Inference of Vine Copulas

Kendall's Tau Value of a Bivariate Copula

Description

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

Usage

BiCopPar2Tau(family, par, par2 = 0, obj = NULL, check.pars = TRUE)

Arguments

family	integer; single number or vector of size m; defines the bivariate copula family: 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'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”) 16 = rotated Joe copula (180 degrees; ⁠survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; ⁠survival BB1”) 18 = rotated BB6 copula (180 degrees; ⁠survival BB6'')\cr `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) '104' = Tawn type 1 copula '114' = rotated Tawn type 1 copula (180 degrees) '124' = rotated Tawn type 1 copula (90 degrees) '134' = rotated Tawn type 1 copula (270 degrees) '204' = Tawn type 2 copula '214' = rotated Tawn type 2 copula (180 degrees) '224' = rotated Tawn type 2 copula (90 degrees) '234' = rotated Tawn type 2 copula (270 degrees)
par	numeric; single number or vector of size n; copula parameter.
par2	numeric; single number or vector of size n; second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: par2 = 0). Note that the degrees of freedom parameter of the t-copula does not need to be set, because the theoretical Kendall's tau value of the t-copula is independent of this choice.
obj	BiCop object containing the family and parameter specification.
check.pars	logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Details

If the family and parameter specification is stored in a BiCop() object obj, the alternative version

BiCopPar2Tau(obj)

can be used.

Value

Theoretical value of Kendall's tau (vector) corresponding to the bivariate copula family and parameter vector (\theta, \delta) = ⁠(par, par2)⁠.

No. (family)	Kendall's tau (tau)
⁠1, 2⁠	\frac{2}{\pi}\arcsin(\theta)
⁠3, 13⁠	\frac{\theta}{\theta+2}
⁠4, 14⁠	1-\frac{1}{\theta}
5	1-\frac{4}{\theta}+4\frac{D_1(\theta)}{\theta}
	with D_1(\theta)=\int_0^\theta \frac{x/\theta}{\exp(x)-1}dx (Debye function)
⁠6, 16⁠	1+\frac{4}{\theta^2}\int_0^1 x\log(x)(1-x)^{2(1-\theta)/\theta}dx
⁠7, 17⁠	1-\frac{2}{\delta(\theta+2)}
⁠8, 18⁠	1+4\int_0^1 -\log(-(1-t)^\theta+1) (1-t-(1-t)^{-\theta}+(1-t)^{-\theta}t)/(\delta\theta) dt
⁠9, 19⁠	1+4\int_0^1 ( (1-(1-t)^{\theta})^{-\delta} - 1) /( -\theta\delta(1-t)^{\theta-1}(1-(1-t)^{\theta})^{-\delta-1} ) dt
⁠10, 20⁠	1+4\int_0^1 -\log \left(((1-t\delta)^\theta-1)/((1-\delta)^\theta-1) \right)
	* (1-t\delta-(1-t\delta)^{-\theta}+(1-t\delta)^{-\theta}t\delta)/(\theta\delta) dt
⁠23, 33⁠	\frac{\theta}{2-\theta}
⁠24, 34⁠	-1-\frac{1}{\theta}
⁠26, 36⁠	-1-\frac{4}{\theta^2}\int_0^1 x\log(x)(1-x)^{-2(1+\theta)/\theta}dx
⁠27, 37⁠	-1-\frac{2}{\delta(2-\theta)}
⁠28, 38⁠	-1-4\int_0^1 -\log(-(1-t)^{-\theta}+1) (1-t-(1-t)^{\theta}+(1-t)^{\theta}t)/(\delta\theta) dt
⁠29, 39⁠	-1-4\int_0^1 ( (1-(1-t)^{-\theta})^{\delta} - 1) /( -\theta\delta(1-t)^{-\theta-1}(1-(1-t)^{-\theta})^{\delta-1} ) dt
⁠30, 40⁠	-1-4\int_0^1 -\log \left( ((1+t\delta)^{-\theta}-1)/((1+\delta)^{-\theta}-1) \right)
	* (1+t\delta-(1+t\delta)^{\theta}-(1+t\delta)^{\theta}t\delta)/(\theta\delta) dt
⁠104,114⁠	\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt
	with A(t) = (1-\delta)t+[(\delta(1-t))^{\theta}+t^{\theta}]^{1/\theta}
⁠204,214⁠	\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt
	with A(t) = (1-\delta)(1-t)+[(1-t)^{-\theta}+(\delta t)^{-\theta}]^{-1/\theta}
⁠124,134⁠	-\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt
	with A(t) = (1-\delta)t+[(\delta(1-t))^{-\theta}+t^{-\theta}]^{-1/\theta}
⁠224,234⁠	-\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)}dt
	with A(t) = (1-\delta)(1-t)+[(1-t)^{-\theta}+(\delta t)^{-\theta}]^{-1/\theta}

Note

The number n can be chosen arbitrarily, but must agree across arguments.

Author(s)

Ulf Schepsmeier, Tobias Erhardt

References

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.

See Also

BiCopTau2Par(), BiCop()

Examples

## Example 1: Gaussian copula
tau0 <- 0.5
rho <- BiCopTau2Par(family = 1, tau = tau0)
# transform back
tau <- BiCopPar2Tau(family = 1, par = rho)
tau - 2/pi*asin(rho)

## Example 2:
vpar <- seq(from = 1.1, to = 10, length.out = 100)
tauC <- BiCopPar2Tau(family = 3, par = vpar)
tauG <- BiCopPar2Tau(family = 4, par = vpar)
tauF <- BiCopPar2Tau(family = 5, par = vpar)
tauJ <- BiCopPar2Tau(family = 6, par = vpar)
plot(tauC ~ vpar, type = "l", ylim = c(0,1))
lines(tauG ~ vpar, col = 2)
lines(tauF ~ vpar, col = 3)
lines(tauJ ~ vpar, col = 4)

## Example 3: different copula families
theta <- BiCopTau2Par(family = c(3,4,6), tau = c(0.4, 0.5, 0.6))
BiCopPar2Tau(family = c(3,4,6), par = theta)

VineCopula documentation built on Sept. 11, 2024, 5:26 p.m.