Struct HuslerReissCopula 

pub struct HuslerReissCopula { /* private fields */ }

Husler-Reiss copula with parameter θ > 0.

The Husler-Reiss copula is an extreme value copula useful for modeling asymmetric dependence structures.

Bibliography

• Husler, J., & Reiss, R.-D. (1989). Maxima of normal random vectors.

Implementations

impl HuslerReissCopula

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

Create a new Husler-Reiss copula.

Arguments

• lambda - Association parameter (λ > 0)

Trait Implementations

impl Clone for HuslerReissCopula

fn clone(&self) -> HuslerReissCopula

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copula for HuslerReissCopula

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 HuslerReissCopula

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

Formats the value using the given formatter.