liouv.iTau

The moment estimates are based on inversion of the formula Kendall's tau for Clayton or Gumbel Liouville copula

Collections of functions allowing random number generations and
estimation of 'Liouville' copulas, as described in Belzile and Neslehova (2017) <doi:10.1016/j.jmva.2017.05.008>.

Leo Belzile

lcopula

Liouville Copulas

Christian  Genest

Alexander J. McNeil

Johanna G. Neslehova

liouv.iTau function

<dl><dt>tau_hat</dt>
<dd>estimated vector of Kendall's tau values</dd>
<dt>family</dt>
<dd>family of the Liouville copula. Either <code>"clayton"</code> or <code>"gumbel"</code></dd>
<dt>alphavec</dt>
<dd>vector of Dirichlet allocations (must be a vector of integers)</dd></dl>

Arguments

Moment estimate for theta derived from Kendall's tau formula — liouv.iTau

<dl>

<dt>tau_hat</dt>
<dd>estimated vector of Kendall's tau values</dd>


<dt>family</dt>
<dd>family of the Liouville copula. Either <code>"clayton"</code> or <code>"gumbel"</code></dd>


<dt>alphavec</dt>
<dd>vector of Dirichlet allocations (must be a vector of integers)</dd>

</dl>

liouv.iTau: Moment estimate for theta derived from Kendall's tau formula

Description

Usage

Value

Arguments

Examples