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[API]: Multivariate Kendall tau and Spearman rho.

Open lrnv opened this issue 1 year ago • 7 comments

According to what we found in #133, we should modify the current implementation of \tau and \rho so that they return (d,d) matrices on d-variate copulas, containing bivariate kendall and spearman coefficients. This will match correctly what is outputed by Statsbase.corkendall and Statsbase.corspearman. The fitting of archimedeans needs to be re-written a bit to take this into account..

Then the API could be exported.

lrnv avatar Feb 09 '24 09:02 lrnv