rscopulas 0.2.4

Core Rust library for fitting, evaluating, and sampling copula models and vine copulas
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137

use std::{fs, path::PathBuf};

use serde::Deserialize;

use rscopulas::{PairCopulaFamily, PairCopulaParams, PairCopulaSpec, Rotation};

#[derive(Debug, Deserialize)]
struct Metadata {
    source_package: String,
    source_version: String,
}

#[allow(dead_code)]
#[derive(Debug, Deserialize)]
struct PairFixture {
    metadata: Metadata,
    family: String,
    family_code: i32,
    par: f64,
    par2: f64,
    u1: Vec<f64>,
    u2: Vec<f64>,
    p: Vec<f64>,
    expected_log_pdf: Vec<f64>,
    expected_cond_first_given_second: Vec<f64>,
    expected_cond_second_given_first: Vec<f64>,
    expected_inv_first_given_second: Vec<f64>,
    expected_inv_second_given_first: Vec<f64>,
}

#[test]
fn pair_families_match_vinecopula_fixtures() {
    for fixture_name in [
        "pair_gaussian_case01.json",
        "pair_student_t_case01.json",
        "pair_clayton_case01.json",
        "pair_frank_case01.json",
        "pair_gumbel_case01.json",
    ] {
        let fixture: PairFixture = load_fixture(fixture_name);
        assert_eq!(fixture.metadata.source_package, "VineCopula");
        let spec = fixture_spec(&fixture);

        for idx in 0..fixture.u1.len() {
            let u1 = fixture.u1[idx];
            let u2 = fixture.u2[idx];
            let p = fixture.p[idx];

            let actual_log_pdf = spec
                .log_pdf(u1, u2, 1e-12)
                .expect("log pdf should evaluate");
            assert!(
                (actual_log_pdf - fixture.expected_log_pdf[idx]).abs() < 1e-9,
                "{} {} log pdf mismatch at row {idx}: left={actual_log_pdf}, right={}",
                fixture.metadata.source_version,
                fixture.family,
                fixture.expected_log_pdf[idx]
            );

            let actual_h12 = spec
                .cond_first_given_second(u1, u2, 1e-12)
                .expect("h-function should evaluate");
            assert!(
                (actual_h12 - fixture.expected_cond_first_given_second[idx]).abs() < 1e-9,
                "{} {} h12 mismatch at row {idx}: left={actual_h12}, right={}",
                fixture.metadata.source_version,
                fixture.family,
                fixture.expected_cond_first_given_second[idx]
            );

            let actual_h21 = spec
                .cond_second_given_first(u1, u2, 1e-12)
                .expect("h-function should evaluate");
            assert!(
                (actual_h21 - fixture.expected_cond_second_given_first[idx]).abs() < 1e-9,
                "{} {} h21 mismatch at row {idx}: left={actual_h21}, right={}",
                fixture.metadata.source_version,
                fixture.family,
                fixture.expected_cond_second_given_first[idx]
            );

            let actual_inv_h12 = spec
                .inv_first_given_second(p, u2, 1e-12)
                .expect("inverse h-function should evaluate");
            assert!(
                (actual_inv_h12 - fixture.expected_inv_first_given_second[idx]).abs() < 1e-9,
                "{} {} hinv12 mismatch at row {idx}: left={actual_inv_h12}, right={}",
                fixture.metadata.source_version,
                fixture.family,
                fixture.expected_inv_first_given_second[idx]
            );

            let actual_inv_h21 = spec
                .inv_second_given_first(u1, p, 1e-12)
                .expect("inverse h-function should evaluate");
            assert!(
                (actual_inv_h21 - fixture.expected_inv_second_given_first[idx]).abs() < 1e-9,
                "{} {} hinv21 mismatch at row {idx}: left={actual_inv_h21}, right={}",
                fixture.metadata.source_version,
                fixture.family,
                fixture.expected_inv_second_given_first[idx]
            );
        }
    }
}

fn fixture_dir() -> PathBuf {
    PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../fixtures/reference/vinecopula/v2")
}

fn load_fixture<T: for<'de> Deserialize<'de>>(name: &str) -> T {
    let path = fixture_dir().join(name);
    let bytes = fs::read(path).expect("fixture should exist");
    serde_json::from_slice(&bytes).expect("fixture should deserialize")
}

fn fixture_spec(fixture: &PairFixture) -> PairCopulaSpec {
    let family = match fixture.family.as_str() {
        "gaussian" => PairCopulaFamily::Gaussian,
        "student_t" => PairCopulaFamily::StudentT,
        "clayton" => PairCopulaFamily::Clayton,
        "frank" => PairCopulaFamily::Frank,
        "gumbel" => PairCopulaFamily::Gumbel,
        other => panic!("unexpected unrotated family fixture {other}"),
    };

    let params = match family {
        PairCopulaFamily::StudentT => PairCopulaParams::Two(fixture.par, fixture.par2),
        _ => PairCopulaParams::One(fixture.par),
    };

    PairCopulaSpec {
        family,
        rotation: Rotation::R0,
        params,
    }
}