statsmodels.distributions.copula.api.GaussianCopula.corr_from_tau¶

GaussianCopula.corr_from_tau(tau)¶

Pearson correlation from kendall’s tau.

Parameters:¶

tauarray_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.