statsmodels.distributions.copula.api.GaussianCopula.fit_corr_param

GaussianCopula.fit_corr_param(data)

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.