rcopula 0.1.0__py3-none-any.whl

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Files changed (57) hide show
  1. rcopula/__init__.py +214 -0
  2. rcopula/bootstrap.py +566 -0
  3. rcopula/core/__init__.py +7 -0
  4. rcopula/core/archimedean.py +1246 -0
  5. rcopula/core/base.py +423 -0
  6. rcopula/core/elliptical.py +547 -0
  7. rcopula/core/empirical.py +269 -0
  8. rcopula/core/extreme_value.py +623 -0
  9. rcopula/core/measures.py +197 -0
  10. rcopula/core/other.py +600 -0
  11. rcopula/credit.py +414 -0
  12. rcopula/datasets.py +446 -0
  13. rcopula/dependence.py +502 -0
  14. rcopula/derivatives.py +873 -0
  15. rcopula/discrete.py +731 -0
  16. rcopula/distribution.py +246 -0
  17. rcopula/dynamic.py +1283 -0
  18. rcopula/fit/__init__.py +21 -0
  19. rcopula/fit/api.py +578 -0
  20. rcopula/fit/mvdc.py +393 -0
  21. rcopula/fit/results.py +169 -0
  22. rcopula/fit/variance.py +492 -0
  23. rcopula/garch.py +685 -0
  24. rcopula/gof/__init__.py +15 -0
  25. rcopula/gof/api.py +421 -0
  26. rcopula/gof/statistics.py +134 -0
  27. rcopula/htest/__init__.py +25 -0
  28. rcopula/htest/api.py +653 -0
  29. rcopula/insurance.py +407 -0
  30. rcopula/kendall.py +459 -0
  31. rcopula/plots.py +887 -0
  32. rcopula/portfolio.py +477 -0
  33. rcopula/risk.py +571 -0
  34. rcopula/sampling.py +342 -0
  35. rcopula/select.py +541 -0
  36. rcopula/serialize.py +359 -0
  37. rcopula/special/__init__.py +24 -0
  38. rcopula/special/combinatorics.py +142 -0
  39. rcopula/special/debye.py +213 -0
  40. rcopula/special/logexp.py +194 -0
  41. rcopula/special/mvtnorm.py +525 -0
  42. rcopula/special/stable.py +414 -0
  43. rcopula/statarb.py +576 -0
  44. rcopula/structural/__init__.py +42 -0
  45. rcopula/structural/khoudraji.py +411 -0
  46. rcopula/structural/marginal.py +213 -0
  47. rcopula/structural/mixture.py +311 -0
  48. rcopula/structural/nested.py +532 -0
  49. rcopula/structural/opower.py +304 -0
  50. rcopula/structural/rotated.py +423 -0
  51. rcopula/transforms.py +654 -0
  52. rcopula/vine.py +635 -0
  53. rcopula-0.1.0.dist-info/METADATA +289 -0
  54. rcopula-0.1.0.dist-info/RECORD +57 -0
  55. rcopula-0.1.0.dist-info/WHEEL +4 -0
  56. rcopula-0.1.0.dist-info/licenses/LICENSE +21 -0
  57. rcopula-0.1.0.dist-info/licenses/NOTICE +85 -0
rcopula/__init__.py ADDED
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+ """rcopula - copula modelling in Python.
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+
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+ A full-featured replication of the R ``copula`` package (Hofert, Kojadinovic,
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+ Maechler, Yan), implemented clean-room from the published literature and
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+ verified numerically against R's outputs.
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+
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+ See ``NOTICE`` for the reference list and ``CONTRIBUTING.md`` for the
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+ clean-room rule.
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+ """
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+
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+ from __future__ import annotations
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+
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+ from rcopula import (
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+ bootstrap,
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+ credit,
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+ datasets,
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+ derivatives,
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+ discrete,
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+ dynamic,
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+ garch,
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+ insurance,
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+ plots,
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+ portfolio,
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+ risk,
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+ sampling,
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+ serialize,
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+ statarb,
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+ )
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+ from rcopula.core.archimedean import (
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+ AMHCopula,
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+ ArchimedeanCopula,
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+ ClaytonCopula,
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+ FrankCopula,
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+ GumbelCopula,
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+ JoeCopula,
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+ )
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+ from rcopula.core.base import Copula, TailDependence
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+ from rcopula.core.elliptical import (
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+ EllipticalCopula,
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+ GaussianCopula,
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+ P2p,
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+ StudentCopula,
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+ p2P,
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+ )
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+ from rcopula.core.empirical import EmpiricalCopula
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+ from rcopula.core.extreme_value import (
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+ ExtremeValueCopula,
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+ GalambosCopula,
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+ HuslerReissCopula,
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+ TawnCopula,
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+ TEVCopula,
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+ )
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+ from rcopula.core.other import (
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+ FGMCopula,
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+ FrechetLowerCopula,
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+ FrechetUpperCopula,
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+ IndependenceCopula,
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+ MarshallOlkinCopula,
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+ PlackettCopula,
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+ )
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+ from rcopula.dependence import (
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+ TailEstimate,
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+ beta_n,
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+ cor_kendall,
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+ cor_spearman,
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+ fit_lambda,
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+ pseudo_obs,
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+ to_emp_margins,
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+ )
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+ from rcopula.distribution import CopulaDistribution, Margin
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+ from rcopula.fit import CopulaFitResult, JointFitResult, fit, fit_joint, loglik_copula
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+ from rcopula.gof import GofResult, gof_statistic, gof_test, gof_two_sample
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+ from rcopula.htest import (
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+ DependogramResult,
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+ TestResult,
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+ dependogram,
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+ ev_test,
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+ exch_test,
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+ indep_test,
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+ rad_sym_test,
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+ serial_indep_test,
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+ )
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+ from rcopula.kendall import (
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+ kendall_cdf,
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+ kendall_empirical,
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+ kendall_pdf,
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+ kendall_ppf,
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+ kendall_return_period,
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+ kendall_rvs,
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+ return_period_level,
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+ )
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+ from rcopula.select import SelectionResult, cross_validate, select_copula
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+ from rcopula.structural import (
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+ KhoudrajiCopula,
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+ MixtureCopula,
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+ NestedArchimedean,
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+ OuterPowerCopula,
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+ RotatedCopula,
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+ fit_nested,
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+ marginal_copula,
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+ opower,
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+ survival,
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+ )
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+ from rcopula.transforms import (
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+ conditional_cdf,
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+ conditional_ppf,
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+ htrafo,
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+ inverse_rosenblatt,
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+ radial_cdf,
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+ radial_ppf,
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+ radial_simplex,
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+ rosenblatt,
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+ )
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+ from rcopula.vine import VineCopula, fit_vine
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+
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+ __version__ = "0.1.0"
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+
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+ __all__ = [
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+ "AMHCopula",
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+ "ArchimedeanCopula",
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+ "ClaytonCopula",
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+ "Copula",
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+ "CopulaDistribution",
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+ "CopulaFitResult",
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+ "DependogramResult",
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+ "EllipticalCopula",
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+ "EmpiricalCopula",
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+ "ExtremeValueCopula",
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+ "FGMCopula",
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+ "FrankCopula",
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+ "FrechetLowerCopula",
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+ "FrechetUpperCopula",
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+ "GalambosCopula",
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+ "GaussianCopula",
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+ "GofResult",
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+ "GumbelCopula",
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+ "HuslerReissCopula",
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+ "IndependenceCopula",
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+ "JoeCopula",
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+ "JointFitResult",
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+ "KhoudrajiCopula",
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+ "Margin",
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+ "MarshallOlkinCopula",
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+ "MixtureCopula",
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+ "NestedArchimedean",
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+ "OuterPowerCopula",
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+ "P2p",
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+ "PlackettCopula",
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+ "RotatedCopula",
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+ "SelectionResult",
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+ "StudentCopula",
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+ "TEVCopula",
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+ "TailDependence",
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+ "TailEstimate",
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+ "TawnCopula",
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+ "TestResult",
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+ "VineCopula",
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+ "__version__",
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+ "beta_n",
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+ "bootstrap",
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+ "conditional_cdf",
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+ "conditional_ppf",
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+ "cor_kendall",
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+ "cor_spearman",
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+ "credit",
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+ "cross_validate",
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+ "datasets",
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+ "dependogram",
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+ "derivatives",
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+ "discrete",
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+ "dynamic",
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+ "ev_test",
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+ "exch_test",
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+ "fit",
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+ "fit_joint",
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+ "fit_lambda",
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+ "fit_nested",
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+ "fit_vine",
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+ "garch",
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+ "gof_statistic",
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+ "gof_test",
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+ "gof_two_sample",
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+ "htrafo",
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+ "indep_test",
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+ "insurance",
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+ "inverse_rosenblatt",
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+ "kendall_cdf",
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+ "kendall_empirical",
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+ "kendall_pdf",
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+ "kendall_ppf",
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+ "kendall_return_period",
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+ "kendall_rvs",
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+ "loglik_copula",
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+ "marginal_copula",
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+ "opower",
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+ "p2P",
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+ "plots",
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+ "portfolio",
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+ "pseudo_obs",
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+ "rad_sym_test",
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+ "radial_cdf",
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+ "radial_ppf",
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+ "radial_simplex",
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+ "return_period_level",
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+ "risk",
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+ "rosenblatt",
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+ "sampling",
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+ "select_copula",
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+ "serial_indep_test",
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+ "serialize",
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+ "statarb",
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+ "survival",
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+ "to_emp_margins",
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+ ]