Copula Sampling and Rank Correlation Analysis
Copula Sampling and Rank Correlation Analysis: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Sample from five bivariate copula families, compute rank correlation measures, and estimate empirical tail dependence coefficients. All copulas should be calibrated to…
The task
Sample from five bivariate copula families, compute rank correlation measures, and estimate empirical tail dependence coefficients. All copulas should be calibrated to the same Kendall's tau, allowing direct comparison of their dependence structures -- particularly in the tails.
Part of codeslord/skilltrainbench-public.