starvine.bvcopula.copula.t_copula.StudentTCopula Class Reference

Student T copula 2 parameter model. More...

Inheritance diagram for starvine.bvcopula.copula.t_copula.StudentTCopula:

Public Member Functions
def	__init__ (self, rotation=0)
Public Member Functions inherited from starvine.bvcopula.copula.copula_base.CopulaBase
def	__init__ (self, rotation=0)
	Init copula. More...
def	cdf (self, u, v, theta)
	Evaluate the copula's CDF function. More...
def	pdf (self, u, v, theta)
	Public facing PDF function. More...
def	h (self, u, v, theta)
def	hinv (self, u, v, theta)
def	fitMLE (self, u, v, theta0, kwargs)
	Maximum likelyhood copula fit. More...
def	sample (self, n=1000, mytheta)
	Draw N samples from the copula. More...
def	setRotation (self, rotation=0)
	Set the copula's orientation: Allows for modeling negative dependence with the frank, gumbel, and clayton copulas (Archimedean Copula family is non-symmetric) More...
def	kTau (self, rotation=0, theta)
	Public facing kendall's tau function.

Public Attributes
	thetaBounds
	theta0
	name
	rotation
Public Attributes inherited from starvine.bvcopula.copula.copula_base.CopulaBase
	rotation
	fittedParams

Private Member Functions
def	_pdf (self, u, v, rotation=0, theta)
	Probability density function of T copula. More...
def	_cdf (self, u, v, rotation=0, theta)
def	_h (self, v, u, rotation=0, theta)
	H function (Conditional distribution) of T copula. More...
def	_hinv (self, v, u, rotation=0, theta)
	Inverse H function (Inv Conditional distribution) of T copula. More...
def	_kTau (self, rotation=0, theta)

Detailed Description

Student T copula 2 parameter model.

(shape param, related to pearson's corr coeff)

(degrees of freedom)

Member Function Documentation

_h()

def starvine.bvcopula.copula.t_copula.StudentTCopula._h (   self,   v,   u,   rotation = 0,   theta  )

private

H function (Conditional distribution) of T copula.

TODO: CHECK UU and VV ordering!

_hinv()

def starvine.bvcopula.copula.t_copula.StudentTCopula._hinv (   self,   v,   u,   rotation = 0,   theta  )

private

Inverse H function (Inv Conditional distribution) of T copula.

TODO: CHECK UU and VV ordering!

_pdf()

def starvine.bvcopula.copula.t_copula.StudentTCopula._pdf (   self,   u,   v,   rotation = 0,   theta  )

private

Probability density function of T copula.

Parameters

u	np_1darary
v	np_1darary
rotation	int Optional copula rotation.
theta	list of float list of parameters to T-copula [Shape, DoF]

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The documentation for this class was generated from the following file:

• starvine/bvcopula/copula/t_copula.py