statsmodels.distributions.copula.api.StudentTCopula.dependence_tail#

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

Bivariate tail dependence parameter.

Joe (2014) p. 182

Parameters:

corrfloat, optional: Pearson correlation. If corr is None, then the correlation will be taken from the copula attribute.

Returns:

lowerfloat or ndarray: Lower tail dependence coefficient of the copula with given Pearson correlation coefficient.
upperfloat or ndarray: Upper tail dependence coefficient of the copula with given Pearson correlation coefficient.