Implementation of a Hüsler-Reiss Copula

[arfogg]

Problem Description

Would love this package to include the Hüsler-Reiss copula. It's often called the "gaussian for extremes" and is well used.

Expected behavior

Use package as normal, but include a new type of copula.

Additional context

Here's some links I have found:
Husler Reiss in R
Here's some info about another python implementation

[srinify]

Hi there @arfogg 👋 thanks for the suggestion! We're a small team and we prioritize features based on community interest. So as more folks express interest, we can bubble this up and hopefully implement it at some point!