Python copulae library for dependency modelling
Project description
Copulae
A python package for building Copulas.
Background
Implemented this package because I couldn't find a suitable package during work. This package is part of a larger piece in my work that I found ot convenient to extract as its own piece.
In particular, I use it as part of an AR-GARCH-Copula risk-modelling in finance. If you have any feedback, love to hear from you. Just ping me ;).
Acknowledgements
Most of the code has been implemented by learning from others. In particular, I referred quite a lot to the textbook Elements of Copula Modeling with R. I recommend their work!
Usage
from copulae import NormalCopula
import numpy as np
np.random.seed(8)
data = np.random.normal(size=(300, 8))
cop = NormalCopula(8)
cop.fit(data) copulae
cop.random(10) # simulate random number
# getting parameters
print(cop.params)
# overriding parameters
cop.params = np.eye(8) # in this case, setting to independent Gaussian Copula
I'll work on the docs and other copulas as soon as I can!
TODOS
[ ] Set up package for pip and conda installation [ ] More documentation on usage and post docs on rtd [ ] Implement in Gumbel, Joe, Frank and AMH (Archmedeans) copulas [ ] Implement goodness of fit [ ] Implement mixed copulas [ ] Implement convenient graphing functions
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