statsmodels.distributions.copula.api.StudentTCopula.dependence_tail

StudentTCopula.dependence_tail(corr=None)

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.