Spearman’s Rho for the AMH Copula: a Beautiful Formula
نویسنده
چکیده
We derive a beautiful series expansion for Spearman’s rho, ρ(θ) of the Ali-Mikhail-Haq (AMH) copula with paramater θ which is also called α or θ. Further, via experiments we determine the cutoffs to be used for practically fast and accurate computation of ρ(θ) for all θ ∈ [−1, 1].
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