Sampling from copulae
Project description
# clayton
## Sampling from copulae
The modeling of dependence between random variables is an important subject in several applied fields of science. To this aim the copula function can be used as a margin-free description of the dependence structure. Several copulae belong to specific families such as Archimedean, Elliptical or Extreme. While software implementation of copulae has been thoroughly explored in R software, methods to work with copula in Python are still in their infancy. To promote the dependence modeling with copula in Python, we have developed clayton, a library that provides a range of random vector generation vector for copulae.
The module clayton is implemented using the object-oriented features of the Python language. The classes are designed for Archimedean, elliptical, extreme value copulae. Each contains methods to generate random vectors.
## Installation
### Dependencies
COPPY requires :
Python (>= 3.7)
NumPY (>= 1.14.6)
SciPY (>= 1.1.0)
### Source Code
You can check the latest sources with the command:
git clone https://github.com/Aleboul/clayton/
## Examples
[Graphical Representations](https://github.com/Aleboul/clayton/blob/master/examples/sample.ipynb)
