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Papers.AnsariRockel2024.GumbelAssociation

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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) :
theorem Papers.AnsariRockel2024.gumbel_spearmanRho_ratio_integral {θ : ℝ} (hθ : 1 ≤ θ) :
(ProbabilityTheory.Copula.gumbel θ hθ).spearmanRho = (12 * ∫ (s : ℝ) in Set.Ioi 0, (1 / (1 + s + (1 + s ^ θ) ^ θ⁻¹)) ^ 2) - 3
theorem Papers.AnsariRockel2024.gumbel_spearmanRho {θ : ℝ} (hθ : 1 ≤ θ) :
(ProbabilityTheory.Copula.gumbel θ hθ).spearmanRho = (12 / θ * ∫ (t : ℝ) in 0..1, (t * (1 - t)) ^ (1 / θ - 1) / (1 + t ^ (1 / θ) + (1 - t) ^ (1 / θ)) ^ 2) - 3