statsmodels.distributions.copula.api.GaussianCopula.tau

GaussianCopula.tau(corr=None)

Bivariate kendall’s tau based on correlation coefficient.

Parameters:

corrNone or float

Pearson correlation. If corr is None, then the correlation will be taken from the copula attribute.

Returns:

Kendall’s tau that corresponds to pearson correlation in the

elliptical copula.