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GaussianCopula

scirs2_stats::copulas

Struct GaussianCopula 

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pub struct GaussianCopula {
    pub rho: f64,
}
Expand description

Gaussian (normal) copula parameterized by correlation rho in (-1, 1).

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§rho: f64

Correlation parameter

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impl GaussianCopula

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pub fn new(rho: f64) -> StatsResult<Self>

Create a Gaussian copula with the given correlation.

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impl Clone for GaussianCopula

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fn clone(&self) -> GaussianCopula

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
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impl Copula for GaussianCopula

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fn cdf(&self, u: f64, v: f64) -> f64

Evaluate the copula CDF: C(u, v)
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fn pdf(&self, u: f64, v: f64) -> f64

Evaluate the copula density: c(u, v) = d^2 C / du dv
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fn conditional_v_given_u(&self, u: f64, v: f64) -> f64

Conditional CDF: C(v | u) = dC/du
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fn conditional_u_given_v(&self, u: f64, v: f64) -> f64

Conditional CDF: C(u | v) = dC/dv
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fn upper_tail_dependence(&self) -> f64

Upper tail dependence coefficient lambda_U
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fn lower_tail_dependence(&self) -> f64

Lower tail dependence coefficient lambda_L
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fn kendalls_tau(&self) -> f64

Kendall’s tau (rank correlation) implied by the copula
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fn family_name(&self) -> &str

Name of the copula family
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fn n_params(&self) -> usize

Number of parameters
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fn params(&self) -> Vec<f64>

Get parameter vector
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fn log_pdf(&self, u: f64, v: f64) -> f64

Log-density: ln(c(u, v))
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impl Debug for GaussianCopula

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

Formats the value using the given formatter. Read more

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impl<T> Any for T
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impl<T> CloneToUninit for T
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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
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