Fix Kendall tau's of Gaussian and Student copula (#224)

* feat: Add functions for computing Kendall tau and Pearson correlation coefficient for bivariate Gaussian Copula * feat: Add Kendall tau calculation for bivariate student copula
lrnv · Sep 21, 2024 · c1d47d7 · c1d47d7
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commit c1d47d7
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diff --git a/src/EllipticalCopulas/GaussianCopula.jl b/src/EllipticalCopulas/GaussianCopula.jl
@@ -67,4 +67,5 @@ end
 # Kendall tau of bivariate gaussian: 
 # Theorem 3.1 in Fang, Fang, & Kotz, The Meta-elliptical Distributions with Given Marginals Journal of Multivariate Analysis, Elsevier, 2002, 82, 1–16 
 τ(C::GaussianCopula{2,MT}) where MT = 2*asin(C.Σ[1,2])/π 
+ρ(C::GaussianCopula{2,MT}) where MT = 6*asin(C.Σ[1,2]/2)/π