Copulalib

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:

• Frank
• Clayton
• Gumbel

Installing copulalib

Installing copulalib is done by

python setup.py install

with the usual Distutils options available

Usage

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(foo.tau) 

Print spearmen's correlation

print(foo.sr)

Print pearson's correlation

print(foo.pr)

Print the parameter (theta) of copula

print(foo.theta)

Generate the 1000 samples (U,V) of copula

X1, Y1 = foo.generate_xy(1000)

For more details see the test.py file inside module.

Changes

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

Any questions/comments

If you have any comment/suggestion/question, please feel free to write me at [email protected]

You may go through https://github.com/tomersk/learn-python to see the examples.