statsmodels.distributions.copula.api.GaussianCopula.dependence_tail

GaussianCopula.dependence_tail(corr=None)[source]

Bivariate tail dependence parameter.

Joe (2014) p. 182

Parameters
corrany

Tail dependence for Gaussian copulas is always zero. Argument will be ignored

Returns
Lower and upper tail dependence coefficients of the copula with given
Pearson correlation coefficient.