statsmodels.distributions.copula.api.StudentTCopula.dependence_tail¶

StudentTCopula.dependence_tail(corr=None)[source]¶

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.