Dependence.GFGM {GFGM.copula} | R Documentation |
Bivariate dependence measures under the generalized FGM copula
Description
Compute Kendall's tau and Spearman's rho with their boundaries under the generalized FGM copula.
Usage
Dependence.GFGM(p, q, theta)
Arguments
p |
Copula parameter that greater than or equal to 1. |
q |
Copula parameter that greater than 1. |
theta |
Copula parameter with restricted range. |
Details
The admissible range of theta
(\theta
) is
-\min\bigg\{1,\frac{1}{p^{2q}}\bigg(\frac{1+pq}{q-1}\bigg)^{2q-2}\bigg\} \leq \theta \leq \frac{1}{p^{q}}\bigg(\frac{1+pq}{q-1}\bigg)^{q-1}.
See also Shih and Emura (2019) for details.
Value
theta |
Dependence parameter. |
tau |
Kendall's tau. |
rho |
Spearman's rho. |
References
Shih J-H, Emura T (2019) Bivariate dependence measures and bivariate competing risks models under the generalized FGM copula, Statistical Papers, 60:1101-1118.
Examples
library(GFGM.copula)
Dependence.GFGM(3,2,0.75)
[Package GFGM.copula version 1.0.4 Index]