I was just looking over the tail dependence bounds of the various Archimedean copulas, and I noticed that the tail dependence formula for the Gumbel copula (given by Sweeting) does not lie between 0 and 1. This is surely an error? Sweeting gives the upper tail dependence of a Gumbel copula as: 2 - 2^(-1 / alpha) If alpha had to equal 2, say, then the upper tail dependence is: 2 - 2^(-1/2) > 1 Is the formula supposed to read: 2 - 2^(1 / alpha) i.e. no negative in the exponent? Thanks a lot
Thank you very much. I thought I couldn't have been the first to notice that. The linked thread seems a good source to consult before adding another thread in future.