statsmodels.distributions.copula.api.GaussianCopula.corr_from_tau

GaussianCopula.corr_from_tau(tau)

Pearson correlation from kendall’s tau.

Parameters:

tauarray_like

Kendall’s tau correlation coefficient.

Returns:

Pearson correlation coefficient for given tau in elliptical

copula. This can be used as parameter for an elliptical copula.