statsmodels.distributions.copula.api.GaussianCopula.dependence_tail¶
- GaussianCopula.dependence_tail(corr=None)[source]¶
Bivariate tail dependence parameter.
Joe (2014) p. 182
- Parameters:
- corr
any
Tail dependence for Gaussian copulas is always zero. Argument will be ignored
- corr
- Returns:
Lower
and
upper
tail
dependence
coefficients
of
the
copula
with
given
Pearson
correlation
coefficient.