statsmodels.distributions.copula.api.StudentTCopula.dependence_tail

StudentTCopula.dependence_tail(corr=None)[source]

Bivariate tail dependence parameter.

Joe (2014) p. 182

Parameters
corrNone or float

Pearson correlation. If corr is None, then the correlation will be taken from the copula attribute.

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