copulae 0.2.0

Python copulae library for dependency modelling

Copulae

A python package for building Copulas.

Background

Implemented this package because I couldn't find a suitable package during work. This package is part of a larger piece in my work that I found ot convenient to extract as its own piece.

In particular, I use it as part of an AR-GARCH-Copula risk-modelling in finance. If you have any feedback, love to hear from you. Just ping me ;).

Acknowledgements

Most of the code has been implemented by learning from others. In particular, I referred quite a lot to the textbook Elements of Copula Modeling with R. I recommend their work!

Usage

from copulae import NormalCopula
import numpy as np

np.random.seed(8)
data = np.random.normal(size=(300, 8))
cop = NormalCopula(8)
cop.fit(data)  copulae

cop.random(10)  # simulate random number

# getting parameters
print(cop.params)  

# overriding parameters
cop.params = np.eye(8)  # in this case,  setting to independent Gaussian Copula

I'll work on the docs and other copulas as soon as I can!

TODOS

[ ] Set up package for pip and conda installation [ ] More documentation on usage and post docs on rtd [ ] Implement in Gumbel, Joe, Frank and AMH (Archmedeans) copulas [ ] Implement goodness of fit [ ] Implement mixed copulas [ ] Implement convenient graphing functions