Gumbel–Hougaard conditional law and reduction of the Table 6 tau integral #
theorem
Papers.AnsariRockel2024.gumbel_conditionalCDF
{θ : ℝ}
(hθ : 1 ≤ θ)
(v : ↑unitInterval)
(hv : ↑v ∈ Set.Ioo 0 1)
:
(fun (u : ↑unitInterval) => (ProbabilityTheory.Copula.gumbel θ hθ).conditionalCDF u v) =ᵐ[MeasureTheory.volume]
fun (u : ↑unitInterval) => Verification.gumbelPartial θ ↑u ↑v
theorem
Papers.AnsariRockel2024.gumbel_kendallTau_generator_integral
{θ : ℝ}
(hθ : 1 ≤ θ)
:
(ProbabilityTheory.Copula.gumbel θ hθ).kendallTau = 1 - 4 * ∫ (x : ℝ) (y : ℝ) in Set.Ioi 0, Verification.gumbelPsiDeriv θ⁻¹ (x + y) ^ 2