copulasim 0.1.0

A simple Python package for working with Gaussian Copulas

Copula

Copula is a Python library that helps you to create simple simulated sets of copulas

Features

• denisty function of a gaussian copula given two data sets
• generate samples from a copula, given an empirical cdf

the functions you have access too are:

• copula_density(u, R)

• get the density function of the copula
• u: multivatiate time series

• copula_likelihood(R_f, u)

• likleyhood function that gives back the likihood function -> used for get_cov

• get_cov(u_ecdf)

• get back the cov matrix, which was fit with the ML estimation and an optimizer from the scipy package
• needs an empirical cdf as input

• sampling_gaussian_copula(R, n_samples)

• get n samples from a gaussian copula, given a cov matrix (get the cov with the get_cov function)

Installation

Install via pip:

pip install copulasim