statsmodels.distributions.copula.api.GaussianCopula.dependence_tail

GaussianCopula.dependence_tail(corr=None)

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.