6.3.2. statsmodels.sandbox.distributions.copula¶
Which Archimedean is Best? Extreme Value copulas formulas are based on Genest 2009
6.3.2.1. References¶
Genest, C., 2009. Rank-based inference for bivariate extreme-value copulas. The Annals of Statistics, 37(5), pp.2990-3022.
6.3.2.2. Functions¶
copula_bv_archimedean(u, v, transform[, args]) |
|
copula_bv_clayton(u, v, theta) |
Clayton or Cook, Johnson bivariate copula |
copula_bv_ev(u, v, transform[, args]) |
generic bivariate extreme value copula |
copula_bv_frank(u, v, theta) |
Cook, Johnson bivariate copula |
copula_bv_gauss(u, v, rho) |
|
copula_bv_indep(u, v) |
independent bivariate copula |
copula_bv_max(u, v) |
countermonotonic bivariate copula |
copula_bv_min(u, v) |
comonotonic bivariate copula |
copula_bv_t(u, v, rho, df) |
|
copula_mv_archimedean(u, transform[, args, axis]) |
generic multivariate Archimedean copula |
transform_bilogistic(t, beta, delta) |
bilogistic model of Coles and Tawn 1994, Joe, Smith and Weissman 1992 |
transform_hr(t, lamda) |
model of Huesler Reiss 1989 |
transform_joe(t, a1, a2, theta) |
asymmetric negative logistic model of Joe 1990 |
transform_tawn(t, a1, a2, theta) |
asymmetric logistic model of Tawn 1988 |
transform_tawn2(t, theta, k) |
asymmetric mixed model of Tawn 1988 |
transform_tev(t, rho, x) |
t-EV model of Demarta and McNeil 2005 |
6.3.2.3. Classes¶
CopulaBivariate(marginalcdfs, copula[, copargs]) |
bivariate copula class |
TransfClayton |
|
TransfFrank |
|
TransfGumbel |
requires theta >=1 |
TransfIndep |
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Transforms() |