Module utils 

Utility functions for copula modeling and data preprocessing.

This module provides essential utility functions for working with copulas, including data transformation, rank computation, and dependence measures.

Functions

bootstrap_sample

Bootstrap resample from a dataset.

empirical_cdf_transform

Transform data using the empirical CDF.

empirical_copula_cdf

Compute the empirical copula CDF at a given point.

empirical_ranks

Compute empirical ranks of data points.

information_criteria

Compute information criteria for model selection.

kendall_tau

Compute Kendall’s tau correlation coefficient.

multivariate_kendall_tau

Compute the sample version of Kendall’s tau for multivariate data.

multivariate_spearman_rho

Compute the sample version of Spearman’s rho for multivariate data.

random_correlation_matrix

Generate a random correlation matrix.

remove_missing_values

Remove observations with missing values (NaN).

spearman_rho

Compute Spearman’s rho correlation coefficient.

to_pseudo_observations

Convert raw data to pseudo-observations (empirical copula).

validate_correlation_matrix

Check if a matrix is a valid correlation matrix.

validate_pseudo_observations

Validate that pseudo-observations are in the correct range.