Eleanor Cawston
Active Member
Hi,
I am confused about the Frank copula, or perhaps what the tail dependency vs association means.
In the notes in section 5.1 and again in section 7 (from Core Reading), we have that the Frank copula has zero dependence in both tails.
However, in the question at the end of Section 7, the answer to part (b) is that the Frank copula with a high positive parameter has a strong positive association through out and to part (e) is that with a high negative parameter the Frank copula has a strong negative association throughout.
How are these both true? Is there a difference between "dependence" and "association"?
Thanks,
Eleanor
I am confused about the Frank copula, or perhaps what the tail dependency vs association means.
In the notes in section 5.1 and again in section 7 (from Core Reading), we have that the Frank copula has zero dependence in both tails.
However, in the question at the end of Section 7, the answer to part (b) is that the Frank copula with a high positive parameter has a strong positive association through out and to part (e) is that with a high negative parameter the Frank copula has a strong negative association throughout.
How are these both true? Is there a difference between "dependence" and "association"?
Thanks,
Eleanor