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.