KendallTau function

Kendall's tau of a copula

This function computes the Kendall's tau of a copula family for a given a unconstrainted parameter alpha.

KendallTau(family, alpha)

Arguments

• family: "Gaussian" , "t" , "Clayton" , "Frank" , "Gumbel"
• alpha: unconstrainted parameters of the copula family

Returns

• tau: estimated Kendall's tau

• theta: estimated copula parameter (constrained)

Examples

KendallTau('Clayton',0)

Author(s)

Bouchra R. Nasri, August 14, 2019