Expand description
Core copula modeling for validated pseudo-observations.
rscopulas is the main Rust surface for fitting, evaluating, and
sampling:
- single-family copulas such as Gaussian, Student t, Clayton, Frank, and Gumbel-Hougaard,
- low-level pair-copula kernels with h-functions and inverse h-functions, including Khoudraji asymmetric pair copulas,
- C-vine, D-vine, and R-vine copulas.
The crate assumes your data is already in pseudo-observation form: finite
values strictly inside (0, 1). If you start from raw observations, estimate
or transform the marginals first, then build a PseudoObs matrix.
§Quick start
use ndarray::array;
use rand::{rngs::StdRng, SeedableRng};
use rscopulas::{CopulaModel, FitOptions, GaussianCopula, PseudoObs};
let data = PseudoObs::new(array![
[0.12, 0.18],
[0.21, 0.25],
[0.27, 0.22],
[0.35, 0.42],
[0.48, 0.51],
[0.56, 0.49],
[0.68, 0.73],
[0.82, 0.79],
])?;
let fit = GaussianCopula::fit(&data, &FitOptions::default())?;
println!("AIC: {}", fit.diagnostics.aic);
let log_pdf = fit.model.log_pdf(&data, &Default::default())?;
println!("first log density = {}", log_pdf[0]);
let mut rng = StdRng::seed_from_u64(7);
let sample = fit.model.sample(4, &mut rng, &Default::default())?;
println!("sample = {:?}", sample);§Fit a vine copula
use ndarray::array;
use rscopulas::{
PairCopulaFamily, PseudoObs, SelectionCriterion, VineCopula, VineFitOptions,
};
let data = PseudoObs::new(array![
[0.12, 0.18, 0.21],
[0.21, 0.25, 0.29],
[0.27, 0.22, 0.31],
[0.35, 0.42, 0.39],
[0.48, 0.51, 0.46],
[0.56, 0.49, 0.58],
[0.68, 0.73, 0.69],
[0.82, 0.79, 0.76],
])?;
let options = VineFitOptions {
family_set: vec![
PairCopulaFamily::Independence,
PairCopulaFamily::Gaussian,
PairCopulaFamily::Clayton,
PairCopulaFamily::Frank,
PairCopulaFamily::Gumbel,
PairCopulaFamily::Khoudraji,
],
include_rotations: true,
criterion: SelectionCriterion::Aic,
truncation_level: Some(1),
..VineFitOptions::default()
};
let fit = VineCopula::fit_r_vine(&data, &options)?;
println!("structure = {:?}", fit.model.structure());
println!("order = {:?}", fit.model.order());§Backend expectations
The crate exposes explicit execution policy controls through ExecPolicy
and Device. Today, Auto is conservative and does not promise that
every numerically heavy path uses CUDA or Metal. If you need a deterministic
backend choice, prefer ExecPolicy::Force(...).
Re-exports§
pub use data::PseudoObs;pub use domain::ClaytonCopula;pub use domain::Copula;pub use domain::CopulaFamily;pub use domain::CopulaModel;pub use domain::Device;pub use domain::EvalOptions;pub use domain::ExecPolicy;pub use domain::FitDiagnostics;pub use domain::FitOptions;pub use domain::FrankCopula;pub use domain::GaussianCopula;pub use domain::GumbelHougaardCopula;pub use domain::HacFamily;pub use domain::HacFitMethod;pub use domain::HacFitOptions;pub use domain::HacNode;pub use domain::HacStructureMethod;pub use domain::HacTree;pub use domain::HierarchicalArchimedeanCopula;pub use domain::SampleOptions;pub use domain::SelectionCriterion;pub use domain::StudentTCopula;pub use domain::VineCopula;pub use domain::VineEdge;pub use domain::VineFitOptions;pub use domain::VineStructure;pub use domain::VineStructureKind;pub use domain::VineTree;pub use errors::BackendError;pub use errors::CopulaError;pub use errors::FitError;pub use errors::InputError;pub use errors::NumericalError;pub use paircopula::KhoudrajiParams;pub use paircopula::PairCopulaFamily;pub use paircopula::PairCopulaParams;pub use paircopula::PairCopulaSpec;pub use paircopula::Rotation;