Struct EmpiricalCopula 

pub struct EmpiricalCopula { /* private fields */ }

Empirical copula based on pseudo-observation data.

Implementations

impl EmpiricalCopula

pub fn new(data: DMatrix<f64>) -> Result<Self>

Create an empirical copula from pseudo-observations.

Trait Implementations

impl Clone for EmpiricalCopula

fn clone(&self) -> EmpiricalCopula

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copula for EmpiricalCopula

fn cdf(&self, u: &[f64]) -> Result<f64>

Evaluate the copula cumulative distribution function (CDF) at point u.

fn pdf(&self, u: &[f64]) -> Result<f64>

Evaluate the copula probability density function (PDF) at point u.

fn sample<R: Rng + ?Sized>(&self, n: usize, rng: &mut R) -> Result<DMatrix<f64>>

Generate random samples from the copula.

fn dimension(&self) -> usize

Get the dimension of the copula.

fn conditional_cdf(&self, u: &[f64], given: &[usize]) -> Result<f64>

Compute the conditional copula CDF given some variables.

fn tail_dependence(&self) -> Result<(f64, f64)>

Compute the tail dependence coefficients.

fn kendall_tau(&self) -> Result<f64>

Compute Kendall’s tau for this copula.

fn spearman_rho(&self) -> Result<f64>

Compute Spearman’s rho for this copula.

fn has_closed_form(&self) -> (bool, bool)

Check if the copula has analytical forms for CDF and PDF.

fn family_name(&self) -> &'static str

Get a string identifier for the copula family.

impl Debug for EmpiricalCopula

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for EmpiricalCopula

Available on crate feature serde only.

fn deserialize<D: Deserializer<'de>>(deserializer: D) -> Result<Self, D::Error>

Deserialize this value from the given Serde deserializer.

impl SerializableCopula for EmpiricalCopula

Available on crate feature serde only.

fn to_json(&self) -> Result<String>

Serialize the copula to a JSON string.

fn from_json(json: &str) -> Result<Self>

where Self: Sized,

Deserialize a copula from a JSON string.

impl Serialize for EmpiricalCopula

Available on crate feature serde only.

fn serialize<S: Serializer>(&self, serializer: S) -> Result<S::Ok, S::Error>

Serialize this value into the given Serde serializer.