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TauEstimator

copula_core::estimation

Struct TauEstimator 

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pub struct TauEstimator;
Available on crate feature estimation only.
Expand description

Method of moments estimator using Kendall’s tau.

Many copulas have closed-form relationships between τ and parameters. For example:

  • Clayton: θ = 2τ/(1-τ)
  • Gumbel: θ = 1/(1-τ)
  • Frank: requires numerical inversion

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impl TauEstimator

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pub fn clayton_from_tau(tau: f64) -> Result<f64>

Estimate Clayton copula parameter from Kendall’s tau.

θ = 2τ/(1-τ)

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pub fn gumbel_from_tau(tau: f64) -> Result<f64>

Estimate Gumbel copula parameter from Kendall’s tau.

θ = 1/(1-τ)

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pub fn gaussian_from_tau(tau: f64) -> Result<f64>

Estimate Gaussian copula correlation from Kendall’s tau.

ρ ≈ sin(π τ / 2)

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