rcopula 0.1.0__tar.gz

rcopula-0.1.0/.gitignore

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rcopula-0.1.0/LICENSE

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+MIT License
+
+Copyright (c) 2026 Chris Bell
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

rcopula-0.1.0/NOTICE

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+rcopula — NOTICE
+================
+
+Relationship to the R `copula` package
+--------------------------------------
+
+`rcopula` reproduces the *functionality* of the R package `copula` (Marius Hofert,
+Ivan Kojadinovic, Martin Maechler, Jun Yan), which is licensed under GPL (>= 3).
+
+`rcopula` is licensed under the MIT License and is **not** a derivative work of
+the R package. Specifically:
+
+1. **No R source code was translated into this project.** Every algorithm is
+   implemented from its originating published paper. Each module docstring cites
+   the reference it was implemented from.
+
+2. **The R package is used only as a behavioural test oracle.** The scripts under
+   `tools/rgolden/` are original work written for this project; they merely *call*
+   the R package to record its numeric outputs into `tests/golden/`. Comparing
+   outputs is a black-box conformance test, not copying.
+
+3. **Names, signatures and numerical results are not copyrightable.** Matching an
+   API and matching the values a published algorithm produces does not create a
+   derivative work.
+
+Anyone contributing to `rcopula` must follow the clean-room rule documented in
+`CONTRIBUTING.md`.
+
+Primary references implemented
+------------------------------
+
+- Nelsen, R. B. (2006). *An Introduction to Copulas*, 2nd ed. Springer.
+- Joe, H. (2014). *Dependence Modeling with Copulas*. Chapman & Hall/CRC.
+- Hofert, M., Kojadinovic, I., Maechler, M., Yan, J. (2018).
+  *Elements of Copula Modeling with R*. Springer.
+- Genest, C., Ghoudi, K., Rivest, L.-P. (1995). A semiparametric estimation
+  procedure of dependence parameters in multivariate families of distributions.
+  *Biometrika* 82(3), 543–552.  [maximum pseudo-likelihood + its asymptotic variance]
+- Genest, C., Rémillard, B., Beaudoin, D. (2009). Goodness-of-fit tests for
+  copulas: A review and a power study. *Insurance: Mathematics and Economics*
+  44(2), 199–213.  [Sn, SnB, SnC; parametric bootstrap]
+- Genest, C., Huang, W., Dufour, J.-M. (2013). A regularized goodness-of-fit test
+  for copulas. *Journal de la Société Française de Statistique* 154(1), 64–77.  [Rn]
+- Kojadinovic, I. (2017). Some copula inference procedures adapted to the presence
+  of ties. *Computational Statistics & Data Analysis* 112, 24–41.  [ties handling]
+- Hofert, M. (2011). Efficiently sampling nested Archimedean copulas.
+  *Computational Statistics & Data Analysis* 55(1), 57–70.
+  [exponentially tilted stable double-rejection sampling]
+- Hofert, M. (2008). Sampling Archimedean copulas. *Computational Statistics &
+  Data Analysis* 52(12), 5163–5174.
+- Marshall, A. W., Olkin, I. (1988). Families of multivariate distributions.
+  *JASA* 83(403), 834–841.  [frailty / mixture sampling algorithm]
+- McNeil, A. J., Nešlehová, J. (2009). Multivariate Archimedean copulas,
+  d-monotone functions and l1-norm symmetric distributions.
+  *Annals of Statistics* 37(5B), 3059–3097.  [radial part]
+- Segers, J., Sibuya, M., Tsukahara, H. (2017). The empirical beta copula.
+  *Journal of Multivariate Analysis* 155, 35–51.
+- Gudendorf, G., Segers, J. (2011). Nonparametric estimation of multivariate
+  extreme-value copulas. *Journal of Statistical Planning and Inference* 141(9),
+  3073–3085.  [Pickands, CFG, Hall–Tajvidi estimators]
+- Grønneberg, S., Hjort, N. L. (2014). The copula information criteria.
+  *Scandinavian Journal of Statistics* 41(2), 436–459.  [cross-validation]
+- Genz, A., Bretz, F. (2009). *Computation of Multivariate Normal and t
+  Probabilities*. Springer Lecture Notes in Statistics 195.
+- Chambers, J. M., Mallows, C. L., Stuck, B. W. (1976). A method for simulating
+  stable random variables. *JASA* 71(354), 340–344.
+- Devroye, L. (2009). Random variate generation for exponentially and polynomially
+  tilted stable distributions. *ACM TOMACS* 19(4), 1–20.
+- Kemp, A. W. (1981). Efficient generation of logarithmically distributed
+  pseudo-random variables. *Applied Statistics* 30(3), 249–253.
+- Khoudraji, A. (1995). *Contributions à l'étude des copules et à la modélisation
+  des valeurs extrêmes bivariées*. PhD thesis, Université Laval.
+- Mashal, R., Zeevi, A. (2002). Beyond correlation: Extreme co-movements between
+  financial assets. Columbia University working paper.  [itau.mpl for t copulas]
+- Dissmann, J., Brechmann, E. C., Czado, C., Kurowicka, D. (2013). Selecting and
+  estimating regular vine copulae and application to financial returns.
+  *Computational Statistics & Data Analysis* 59, 52–69.
+
+Bundled datasets
+----------------
+
+Datasets under `rcopula/datasets/` are redistributed for reproducibility of the
+worked examples. Each carries its original source citation in
+`rcopula/datasets/SOURCES.md`. They originate from published academic work and
+are included under the same terms as their original publication.

rcopula-0.1.0/PKG-INFO

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+Metadata-Version: 2.5
+Name: rcopula
+Version: 0.1.0
+Summary: Copula modelling in Python: a full-featured replication of R's `copula` package.
+Project-URL: Homepage, https://github.com/Chrisebell24/python-copula
+Project-URL: Repository, https://github.com/Chrisebell24/python-copula
+Project-URL: Issues, https://github.com/Chrisebell24/python-copula/issues
+Author-email: Chris Bell <chris.e.bell24@gmail.com>
+License: MIT License
+        
+        Copyright (c) 2026 Chris Bell
+        
+        Permission is hereby granted, free of charge, to any person obtaining a copy
+        of this software and associated documentation files (the "Software"), to deal
+        in the Software without restriction, including without limitation the rights
+        to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+        copies of the Software, and to permit persons to whom the Software is
+        furnished to do so, subject to the following conditions:
+        
+        The above copyright notice and this permission notice shall be included in all
+        copies or substantial portions of the Software.
+        
+        THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+        IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+        FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+        AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+        LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+        OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+        SOFTWARE.
+License-File: LICENSE
+License-File: NOTICE
+Keywords: archimedean,copula,dependence,risk,sklar,statistics,tail dependence,vine copula
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Classifier: Typing :: Typed
+Requires-Python: >=3.10
+Requires-Dist: matplotlib>=3.7
+Requires-Dist: numpy>=1.24
+Requires-Dist: pandas>=2.0
+Requires-Dist: scipy>=1.10
+Provides-Extra: dev
+Requires-Dist: mpmath>=1.3; extra == 'dev'
+Requires-Dist: mypy>=1.11; extra == 'dev'
+Requires-Dist: pytest-cov>=5.0; extra == 'dev'
+Requires-Dist: pytest>=8.0; extra == 'dev'
+Requires-Dist: ruff>=0.6; extra == 'dev'
+Provides-Extra: docs
+Requires-Dist: mkdocs-material>=9.5; extra == 'docs'
+Requires-Dist: mkdocs>=1.6; extra == 'docs'
+Requires-Dist: mkdocstrings[python]>=0.26; extra == 'docs'
+Provides-Extra: garch
+Requires-Dist: arch>=6.0; extra == 'garch'
+Description-Content-Type: text/markdown
+
+# rcopula
+
+**Copula modelling in Python — a full-featured replication of R's [`copula`](https://cran.r-project.org/package=copula) package, verified against it numerically.**
+
+[![CI](https://github.com/Chrisebell24/python-copula/actions/workflows/ci.yml/badge.svg)](https://github.com/Chrisebell24/python-copula/actions/workflows/ci.yml)
+[![License: MIT](https://img.shields.io/badge/License-MIT-blue.svg)](LICENSE)
+
+> **Status: pre-1.0, under active development.** The API may change before 1.0.
+
+---
+
+## Why this exists
+
+R's `copula` package is the most complete copula toolkit in any language. Python's options
+are fragmented, and roughly **60–70% of R `copula`'s statistical surface has no Python
+equivalent at all**:
+
+- no multiplier-bootstrap goodness-of-fit anywhere;
+- no nested Archimedean copulas anywhere, because they need an exponentially
+  tilted stable sampler that does not exist in NumPy, SciPy or any copula package;
+- no Khoudraji device, general rotation wrapper, or arbitrary-copula mixtures;
+- no Kendall distribution function `K`, no general Rosenblatt transform;
+- **not one Python package returns standard errors for a fitted copula**;
+- families missing under one API: Joe, AMH, Plackett, FGM, Marshall–Olkin, Galambos,
+  Hüsler–Reiss, Tawn, t-EV, Fréchet bounds.
+
+`rcopula` closes that gap, and proves it: every deterministic quantity is checked against
+fixtures generated by running the real R package — **and separately against the
+definitions themselves**, so agreeing with R cannot be mistaken for being right.
+
+It also goes past R where the gap was worth closing:
+
+- **time-varying copulas** — Patton (2006) and score-driven (GAS) recursions, plus
+  Engle's DCC for a correlation matrix that moves;
+- **discrete and mixed margins** — the exact inclusion-exclusion likelihood, with the
+  identifiability caveat stated rather than buried;
+- **vines** — R/C/D, in pure NumPy;
+- **automatic family selection**, **JSON serialization**, and **bootstrap confidence
+  intervals** with measured coverage.
+
+## What copulas are for
+
+Sklar's theorem says any joint distribution splits cleanly into **its margins** and **a
+copula** that carries all the dependence. That separation is the whole point:
+
+- **Model dependence and margins independently.** Fit each margin however you like — a
+  GARCH residual distribution, a kernel density, a fitted Gamma — then fit the dependence
+  structure separately.
+- **Dependence measures that don't lie.** Kendall's τ and Spearman's ρ are invariant under
+  monotone marginal transforms; Pearson correlation is not. Pearson also reports ~0 for
+  strongly dependent pairs (e.g. `y = x²`).
+- **Tail dependence.** Gaussian dependence says extreme joint events are essentially
+  impossible. Real markets disagree. A t or Clayton copula prices joint crashes correctly;
+  a Gaussian one does not. This distinction is not cosmetic — it changes VaR materially.
+
+### Choosing a family
+
+| If your data look like… | Use |
+|---|---|
+| Symmetric dependence, no joint extremes | `GaussianCopula` |
+| Symmetric dependence **with** joint extremes in both tails | `StudentCopula` |
+| Joint crashes but not joint booms (lower-tail dependence) | `ClaytonCopula` |
+| Joint booms but not joint crashes (upper-tail dependence) | `GumbelCopula`, `JoeCopula` |
+| Flexible middle, negative dependence allowed, no tail dependence | `FrankCopula` |
+| Weak dependence only (τ ∈ [−0.18, 0.33]) | `AMHCopula` |
+| Asymmetric tails | `KhoudrajiCopula`, `RotatedCopula` |
+| Block / hierarchical group structure | `NestedArchimedean` |
+| High-dimensional, pair-specific dependence | `VineCopula` |
+
+## Install
+
+```bash
+pip install rcopula
+```
+
+## Quick start
+
+```python
+import rcopula as rc
+from scipy import stats
+
+# Construct and sample
+cop = rc.ClaytonCopula(theta=2.0, dim=3)
+u = cop.rvs(1000, random_state=42)
+
+cop.pdf(u)  # density
+cop.cdf(u)  # distribution function
+cop.tau()  # Kendall's tau  -> 0.5
+cop.lambda_()  # TailDependence(lower=0.7071, upper=0.0)
+
+# Calibrate from a target dependence
+rc.GumbelCopula.from_tau(0.5)  # theta = 2.0
+
+# Fit, with standard errors
+res = rc.fit(rc.GumbelCopula(dim=2), u[:, :2], method="mpl")
+print(res.summary())
+
+# Attach margins (Sklar, second direction)
+mv = rc.CopulaDistribution(
+    cop, margins=[stats.norm(1, 2), stats.expon(scale=1 / 3), stats.gamma(2)]
+)
+x = mv.rvs(1000, random_state=0)
+
+# Goodness of fit
+rc.gof_test(rc.ClaytonCopula(dim=3), x, simulation="mult")
+```
+
+## Datasets
+
+Nothing is bundled: R `copula`'s datasets are GPL-3 and this package is MIT, so
+copying them in would be a licence conflict. Instead the loader ships URLs,
+licences and SHA-256 digests, and fetches permissively-licensed sources on first
+use.
+
+```python
+flood = rc.datasets.load("nwis_peaks")  # USGS, public domain
+wine = rc.datasets.load("uci_wine_quality_red")  # UCI, CC BY 4.0
+flood.attrs["citation"]
+```
+
+Five sources: USGS annual peak flows and NOAA GHCN-Daily (both live endpoints, so
+unpinnable), and three static UCI tables — abalone, red wine quality and NASA
+aerofoil self-noise — whose SHA-256 is checked on every fetch. A test asserts no
+data file is ever committed.
+
+## Examples
+
+Twenty-seven scripts in [`examples/`](examples/), each of which **runs and asserts
+its own claims** — so they cannot drift out of date without failing:
+
+```bash
+python examples/04_tail_dependence.py     # what tau does not tell you
+python examples/13_hydrology_return_periods.py
+pytest tests/test_examples.py             # run them all
+```
+
+They cover the R book chapters; applied finance (CDO tranches, basket and CMS
+spread options, pairs trading, copula-GARCH, operational risk); hydrology,
+climate compound extremes, structural reliability and survival analysis; the
+statistics and machine-learning uses (mutual information, robust covariance,
+synthetic data, conditional independence); vines; the nine diagnostic plots;
+time-varying dependence; count data; quasi-random sampling; Archimedean
+internals at d = 100; nested trees; and what rounding does to a rank statistic.
+
+## Coming from R?
+
+The API is Pythonic (scipy/statsmodels verbs), but R's option strings are preserved so you
+can paste them across.
+
+| R | `rcopula` |
+|---|---|
+| `claytonCopula(2, dim = 3)` | `rc.ClaytonCopula(theta=2, dim=3)` |
+| `rCopula(n, cop)` | `cop.rvs(n)` |
+| `dCopula(u, cop)` / `pCopula(u, cop)` | `cop.pdf(u)` / `cop.cdf(u)` |
+| `tau(cop)` / `rho(cop)` / `lambda(cop)` | `cop.tau()` / `cop.rho()` / `cop.lambda_()` |
+| `iTau(claytonCopula(), 0.5)` | `rc.ClaytonCopula.from_tau(0.5)` |
+| `fitCopula(cop, u, method = "mpl")` | `rc.fit(cop, u, method="mpl")` |
+| `pobs(x)` | `rc.pseudo_obs(x)` |
+| `mvdc(cop, margins, paramMargins)` | `rc.CopulaDistribution(cop, margins=[...])` |
+| `fitMvdc(x, mvdc, start)` | `rc.fit_joint(mv, x)` — margins and copula together |
+| `cCopula(u, cop)` | `rc.rosenblatt(cop, u)` |
+| `gofCopula(cop, x, simulation = "mult")` | `rc.gof_test(cop, x, simulation="mult")` |
+| `gofT2stat(u1, u2)` | `rc.gof_two_sample(x, y)` — did the dependence change? |
+| `dependogram(x, d)` | `rc.dependogram(x)` — which subsets are dependent |
+| `rotCopula(cop, flip)` | `rc.RotatedCopula(cop, flip)` / `rc.survival(cop)` |
+| `khoudrajiCopula(c1, c2, shapes)` | `rc.KhoudrajiCopula(c1, c2, shapes)` |
+| `mixCopula(list(c1, c2), w)` | `rc.MixtureCopula([c1, c2], w)` |
+| `opower(cop, alpha)` | `rc.opower(cop, alpha)` — a second dial on the tails |
+| `margCopula(cop, keep)` | `rc.marginal_copula(cop, [0, 3])` |
+| `fitLambda(x)` | `rc.fit_lambda(x)` — tail dependence without a family |
+| `onacopula("G", C(1.5, , list(C(4, 1:3))))` | `rc.NestedArchimedean(rc.GumbelCopula(1.5), ...)` |
+| `enacopula(u, cop, method = "etau")` | `rc.fit_nested(structure, u)` |
+| *(VineCopula::RVineStructureSelect)* | `rc.fit_vine(u, structure="D")` |
+| `retstable(n, V0, h, alpha)` | `rcopula.special.stable.retstable(...)` |
+| `pK(t, cop, d)` / `qK` / `dK` / `rK` | `rc.kendall_cdf/ppf/pdf/rvs(cop, ...)` |
+| `Kn(u, x)` | `rc.kendall_empirical(x, u)` |
+| `xvCopula(cop, x, k)` | `rc.cross_validate(cop, x, k)` |
+| `contour(cop, dCopula)` / `persp(...)` | `rc.plots.contour(cop)` / `rc.plots.surface(cop)` |
+| `pairsRosenblatt(...)` | `rc.plots.pairs_rosenblatt(cop, u)` — *where* a fit fails |
+| *(no equivalent)* | `rc.select_copula(u)` — rank every admissible family |
+| *(no equivalent)* | `rc.plots.tail_concentration(u, [c1, c2])` — where families disagree |
+| *(no equivalent)* | `rc.dynamic.fit_dynamic(u, cop)` — Patton / GAS time-varying dependence |
+| *(no equivalent)* | `rc.dynamic.fit_dcc(u)` — Engle's dynamic conditional correlation |
+| *(no equivalent)* | `rc.discrete.fit_discrete(x, cop, margins)` — exact likelihood for counts |
+| *(no equivalent)* | `rc.bootstrap.bootstrap_measure(u, "tau")` — BCa intervals, `n_jobs=` |
+| *(no equivalent)* | `rc.serialize.to_json(cop)` — a model file you can read and diff |
+| *(no equivalent)* | `rc.statarb.select_pairs(returns)` — rank every pair, six criteria |
+| *(no equivalent)* | `rc.statarb.select_partners(returns, "AAPL")` — vine quadruples |
+| `rtrafo` / inverse `cCopula` | `rc.inverse_rosenblatt(cop, z)` |
+| `rAntitheticVariates` | `rc.sampling.antithetic_rvs(cop, n)` |
+| `rLatinHypercube` | `rc.sampling.latin_hypercube_rvs(cop, n)` |
+| *(qrng vignette)* | `rc.sampling.quasi_rvs(cop, n)` — Sobol/Halton through the copula |
+| `htrafo(u, cop)` | `rc.htrafo(cop, u)` |
+
+There is a [vine copula tutorial](https://chrisebell24.github.io/python-copula/vines/)
+that reproduces Aas et al. (2009) equation by equation — the D-vine and C-vine
+factorisations agree with the printed formulas to 2e-15, and the paper's count of
+"12 D-vines and 12 C-vines" in four dimensions is reproduced by enumeration.
+
+The full translation table, an API reference, and the notes on where R is the
+less accurate side are in the [documentation](https://chrisebell24.github.io/python-copula/)
+(`make docs` to read it locally).
+
+## How parity is verified
+
+R's RNG cannot be matched bit-for-bit by NumPy, so verification splits in two:
+
+- **Deterministic quantities** — densities, CDFs, generators, Pickands functions, τ/ρ/λ,
+  `iTau`/`iRho`, Rosenblatt transforms, the Kendall function, and every GoF *statistic* —
+  must match R to ~1e-10.
+- **RNG-dependent quantities** — R's random draws are **exported to CSV and fed into
+  Python**, making everything downstream deterministic. Fitted parameters must match to
+  ~1e-6 and standard errors to ~1e-5. Only bootstrap p-values remain stochastic, and those
+  are checked statistically.
+
+Fixtures live in `tests/golden/` and are committed, so CI needs no R. Regenerate with
+`make golden`. A published parity report lists every replicated function and its maximum
+observed deviation.
+
+## License and relationship to R `copula`
+
+`rcopula` is MIT. R's `copula` is GPL-3. **No R source code was translated into this
+project** — every algorithm is implemented from its originating published paper, and the R
+package is used solely as a black-box test oracle. See [`NOTICE`](NOTICE) and
+[`CONTRIBUTING.md`](CONTRIBUTING.md).
+
+`rcopula` is not affiliated with or endorsed by the authors of the R `copula` package.