statsmodels.distributions.copula.api.GaussianCopula.dependence_tail

GaussianCopula.dependence_tail(corr=None)

Bivariate tail dependence parameter.

Joe (2014) p. 182

Parameters:

corrfloat, optional

Tail dependence for Gaussian copulas is always zero. Argument will be ignored

Returns:

lowerfloat

Lower tail dependence coefficient, always 0 for the Gaussian copula.

upperfloat

Upper tail dependence coefficient, always 0 for the Gaussian copula.