statsmodels.distributions.copula.api.GaussianCopula.fit_corr_param

GaussianCopula.fit_corr_param(data)

Copula correlation parameter using Kendall’s tau of sample data.

Parameters:

dataarray_like

Sample data used to fit theta using Kendall’s tau.

Returns:

corr_paramfloat or ndarray

Correlation parameter of the copula, theta in Archimedean and pearson correlation in elliptical. For the bivariate case (k_dim == 2) this is a scalar; if k_dim > 2, then the full k_dim x k_dim matrix of pairwise correlations is returned.