statsmodels.distributions.copula.api.GaussianCopula.corr_from_tau

GaussianCopula.corr_from_tau(tau)

Pearson correlation from kendall’s tau.

Parameters:

tau (array_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.