multicopula 0.0.2

Multivariate probability distributions using copula theory.

MultiCopula

What is MultiCopula?

It is a multivariate probabilistic modelling package, which uses copula theory.

How to install

The package can be installed via pip using:

pip install multicopula

Example:

Run the load base case as:

from multicopula import EllipticalCopula
import numpy as np

#%%
n_samples_ = 5000
covariance_ = np.array([[   1, -0.6,  0.7],
                        [-0.6,    1, -0.4],
                        [ 0.7,  -0.4,   1]])
mean_ = np.array([1, 3, 4])
data = np.random.multivariate_normal(mean_, covariance_, 5000).T

#%%
copula_model = EllipticalCopula(data)
copula_model.fit()

#%%
samples_ = copula_model.sample(10000)
covariance_samples = np.corrcoef(samples_)

More examples can be found in the examples folder (under development).

Reading and citations:

The mathematical formulation of the power flow can be found at:

“Conditional Multivariate Elliptical Copulas to Model Residential Load Profiles From Smart Meter Data,” E.M. (Mauricio) Salazar Duque, P.P. Vergara, P.H. Nguyen, A. van der Molen and J. G. Slootweg, in IEEE Transactions on Smart Grid, vol. 12, no. 5, pp. 4280-4294, Sept. 2021, doi: 10.1109/TSG.2021.3078394. link

How to contact us

Any questions, suggestions or collaborations contact Mauricio Salazar at <[e-mail]>