franktau: Utility to calculate the parameter theta of a Frank copula...
In AlexanderRitz/copR: Archimedean Copulas (copR)
Description
Usage
Arguments
Value
References
Description
Implementation of the relationship between theta and tau for a Frank copula.
A simplification of an implementation of Diethelm Wuertz in the package
"fCopulae". Original implementation falsely gives value of "Inf" for
tau = -1, this has been fixed in this implementation.
Usage
1
franktau(tau)
Arguments
tau
double. A numeric value for Kendall's tau.
Value
A value for the parameter theta based on method of moments estimation
by the supplied Kendalls'tau.
References
Frees and Valdez (1998). Understanding Relationships Using
Copulas. North American Actuarial Journal 2(1):1-25.
AlexanderRitz/copR documentation built on Oct. 30, 2019, 4:11 a.m.
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Description Usage Arguments Value References
Description
Implementation of the relationship between theta and tau for a Frank copula. A simplification of an implementation of Diethelm Wuertz in the package "fCopulae". Original implementation falsely gives value of "Inf" for tau = -1, this has been fixed in this implementation.
Usage
1 | franktau(tau)
|
Arguments
tau |
double. A numeric value for Kendall's tau. |
Value
A value for the parameter theta based on method of moments estimation by the supplied Kendalls'tau.
References
Frees and Valdez (1998). Understanding Relationships Using Copulas. North American Actuarial Journal 2(1):1-25.
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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