Struct CVineCopula 

pub struct CVineCopula { /* private fields */ }

C-vine copula (Canonical vine).

In a C-vine, each tree has a star structure with one variable as the root. Tree 1: copulas C_{1,j} for j=2,…,d Tree 2: copulas C_{2,j|1} for j=3,…,d etc.

Example Structure (4D)

Tree 1: C_{12}, C_{13}, C_{14} Tree 2: C_{23|1}, C_{24|1} Tree 3: C_{34|12}

Implementations

impl CVineCopula

pub fn new(dimension: usize, trees: Vec<Vec<PairCopula>>) -> Result<Self>

Create a new C-vine copula.

Arguments

• dimension - Number of dimensions
• trees - Vector of trees, each containing pair-copulas

Returns

A new C-vine copula

Trait Implementations

impl Clone for CVineCopula

fn clone(&self) -> CVineCopula

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copula for CVineCopula

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

Sample by inverting the Rosenblatt transform (Aas et al., 2009, Algorithm 1).

In a C-vine, the conditioning value of tree k is F(x_k | x_0, …, x_{k-1}), which is exactly the independent uniform w[k] drawn for variable k. Each variable is therefore obtained by applying the inverse h-functions of its pair-copulas from the deepest tree to the first.

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 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.