statsmodels.distributions.copula.api.ExtremeValueCopula.fit_corr_param

ExtremeValueCopula.fit_corr_param(data)[source]

Copula correlation parameter using Kendall’s tau of sample data.

Parameters:
dataarray_like

Sample data used to fit theta using Kendall’s tau.

Returns:
corr_paramfloat

Correlation parameter of the copula, theta in Archimedean and pearson correlation in elliptical. If k_dim > 2, then average tau is used.


Last update: Jun 14, 2024