A library for the copula
This is a package/library in python to model the copulas. This was developed as part of my PhD thesis.
This contains module for the following copula:
Installing copulalib is done by
python setup.py install
with the usual Distutils options available
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 spearmen's correlation
Print pearson's correlation
Print the parameter (theta) of copula
Generate the 1000 samples (U,V) of copula
X1, Y1 = foo.generate_xy(1000)
For more details see the test.py file inside module.
Version 1.0.0 -- May, 2011 --- Initial release
Version 1.1.0 -- June, 2011 --- changed from function orieted to object oriented, documentation improved
version 2.0.0 -- Oct, 2022 --- Updated for Python 3, removed the dependancy on statistics library
If you have any comment/suggestion/question, please feel free to write me at firstname.lastname@example.org
You may go through https://github.com/tomersk/learn-python to see the examples.
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Hashes for copulalib-2.0.1-py3-none-any.whl