statsmodels.distributions.copula.api.ArchimedeanCopula.fit_corr_param

ArchimedeanCopula.fit_corr_param(data)

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

Parameters:

data (array_like) – Sample data used to fit theta using Kendall’s tau.

Returns:

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

Return type:

float