statsmodels.distributions.copula.api.GaussianCopula.tau¶

GaussianCopula.tau(corr=None)¶

Bivariate kendall’s tau based on correlation coefficient.

Parameters:¶

corrNone or float

Pearson correlation. If corr is None, then the correlation will be taken from the copula attribute.

Returns:¶

Kendall’s tau that corresponds to pearson correlation in the

elliptical copula.