“Spearman’s Rho for the AMH Copula: a Beautiful Formula”, 2014-06 (; backlinks):
We derive a beautiful series expansion for Spearman’s rho, ρ(θ) of the Ali-Mikhail-Haq (AMH) copula with parameter θ which is also called α or θ. Further, via experiments we determine the cutoffs to be used for practically fast and accurate computation of ρ(θ) for all θ ∈ [−1,1].
[Keywords: Archimedean copulas, Spearman’s rho.]