PairCopulaKendallTau

Transforming the parameter of a pair-copula into the value of Kendall's tau

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Purpose

The function computes the value of Kendall's tau given the parameter of the specific two-dimensional copula. Possible copula families:

       1   AMH
       7   Clayton
       8   FGM
       9   Frank
       10  Gaussian
       11  Gumbel
       19  t

Usage

           tau = CopulaKendallTau(family,theta)

Inputs

   family      = The copula family.
   theta       = The parameter vector for the pair-copula.

Outputs

  tau          = The value of Kendall's tau.