Exact lower and upper tail dependence of Genest–Ghoudi #
theorem
ProbabilityTheory.Copula.hasLowerTailDependence_genestGhoudi
(θ : ℝ)
(hθ : 1 ≤ θ)
:
(genestGhoudi θ hθ).HasLowerTailDependence 0
The Genest–Ghoudi lower-tail coefficient vanishes for all finite θ≥1.
theorem
ProbabilityTheory.Copula.hasUpperTailDependence_genestGhoudi
(θ : ℝ)
(hθ : 1 ≤ θ)
:
(genestGhoudi θ hθ).HasUpperTailDependence (2 - 2 ^ θ⁻¹)
The Genest–Ghoudi upper-tail coefficient for all finite θ≥1.