Kendall.SNBP {Bivariate.Pareto} | R Documentation |
Compute Kendall's tau under the Sankaran and Nair bivairate Pareto (SNBP) distribution (Sankaran and Nair, 1993) by numerical integration.
Kendall.SNBP(Alpha0, Alpha1, Alpha2, Gamma)
Alpha0 |
Copula parameter α_{0} with restricted range. |
Alpha1 |
Positive scale parameter α_{1} for the Pareto margin. |
Alpha2 |
Positive scale parameter α_{2} for the Pareto margin. |
Gamma |
Common positive shape parameter γ for the Pareto margins. |
The admissible range of Alpha0
(α_{0}) is 0 ≤q α_{0} ≤q (γ+1) α_{1} α_{2}.
tau |
Kendall's tau. |
Sankaran PG, Nair NU (1993), A bivariate Pareto model and its applications to reliability, Naval Research Logistics, 40:1013-1020.
Shih J-H, Lee W, Sun L-H, Emura T (2019), Fitting competing risks data to bivariate Pareto models, Communications in Statistics - Theory and Methods, 48:1193-1220.
library(Bivariate.Pareto) Kendall.SNBP(7e-5,0.0036,0.0075,1.8277)