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A library for the copula

Project description

This library is now part of the ambhas
( library.
Updates will only be made in the ambhas library.


This is a package/library in python to model the copulas.
This is being developed under the project `AMBHAS <>`_.

This contains module for the following copula
* Frank
* Clayton
* Gumbel

Installing copulalib

Installing copulalib can be done by downloading source file (copulalib--<version>.tar.gz),
and after unpacking issuing the command::

python install

This requires the usual Distutils options available.

Or, download the copulalib--<version>.tar.gz file and issue the command::

pip /path/to/copulalib--<version>.tar.gz

Or, directly using the pip::

pip install copulalib

Import required modules::

import numpy as np
import matplotlib.pyplot as plt
from copulalib.copulalib import Copula

Generate random (normal distributed) numbers::

x = np.random.normal(size=100)
y = 2.5*x+ np.random.normal(size=100)

Make the instance of Copula class with x, y and clayton family::

foo = Copula(x, y, family='clayton')

Print the Kendall's rank correlation::

print foo.tau

Print spearmen's correlation::


Print pearson's correlation::


Print the parameter (theta) of copula::

print foo.theta

Generate the 1000 samples (U,V) of copula::

X1, Y1 = foo.generate_xy(1000)

For more details see the file inside module.


1.1.0 (June 2011)

- Changed from function orieted to object oriented, documentation improved.

1.0.0 (May 2011)

- Initial release

Any questions/comments
If you have any comment/suggestion/question,
please feel free to write me at

So far, the documents are not well explained,
I will be updating them soon.

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