skfolio 0.7.0__py3-none-any.whl → 0.8.0__py3-none-any.whl

skfolio/distribution/copula/_base.py

@@ -0,0 +1,456 @@
+"""Base Bivariate Copula Estimator."""
+
+# Copyright (c) 2025
+# Author: Hugo Delatte <delatte.hugo@gmail.com>
+# Credits: Matteo Manzi, Vincent Maladière, Carlo Nicolini
+# SPDX-License-Identifier: BSD-3-Clause
+
+from abc import ABC, abstractmethod
+
+import numpy as np
+import numpy.typing as npt
+import plotly.graph_objects as go
+import sklearn.utils as sku
+import sklearn.utils.validation as skv
+
+from skfolio.distribution._base import BaseDistribution
+from skfolio.distribution.copula._utils import (
+    empirical_tail_concentration,
+    plot_tail_concentration,
+)
+
+UNIFORM_MARGINAL_EPSILON = 1e-9
+_RHO_BOUNDS = (-0.999, 0.999)
+
+
+class BaseBivariateCopula(BaseDistribution, ABC):
+    """Base class for Bivariate Copula Estimators.
+
+    This abstract class defines the interface for bivariate copula models, including
+    methods for fitting, sampling, scoring, and computing partial derivatives.
+
+    Parameters
+    ----------
+    random_state : int, RandomState instance or None, default=None
+        Seed or random state to ensure reproducibility.
+    """
+
+    # Used for AIC and BIC
+    _n_params: int
+
+    def __init__(self, random_state: int | None = None):
+        super().__init__(random_state=random_state)
+
+    def _validate_X(self, X: npt.ArrayLike, reset: bool) -> np.ndarray:
+        """Validate the input data.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, 2)
+            An array of bivariate inputs `(u, v)` where each row represents a
+            bivariate observation. Both `u` and `v` must be in the interval `[0, 1]`.
+
+        reset : bool, default=True
+            Whether to reset the `n_features_in_` attribute.
+            If False, the input will be checked for consistency with data
+            provided when reset was last True.
+
+        Returns
+        -------
+        validated_X: ndarray of shape (n_observations, 2)
+            The validated data array.
+
+        Raises
+        ------
+        ValueError
+            If input data is invalid (e.g., not in `[0, 1]` or incorrect shape).
+        """
+        X = skv.validate_data(self, X, dtype=np.float64, reset=reset)
+        if X.shape[1] != 2:
+            raise ValueError("X must contains two columns for Bivariate Copula")
+        if not np.all((X >= 0) & (X <= 1)):
+            raise ValueError(
+                "X must be in the interval `[0, 1]`, usually reprinting uniform "
+                "distributions obtained from marginals CDF transformation"
+            )
+
+        # Handle potential numerical issues by ensuring X doesn't contain exact 0 or 1.
+        X = np.clip(X, UNIFORM_MARGINAL_EPSILON, 1 - UNIFORM_MARGINAL_EPSILON)
+        return X
+
+    @property
+    def n_params(self) -> int:
+        """Number of model parameters."""
+        return self._n_params
+
+    @property
+    @abstractmethod
+    def lower_tail_dependence(self) -> float:
+        """Theoretical lower tail dependence coefficient."""
+        pass
+
+    @property
+    @abstractmethod
+    def upper_tail_dependence(self) -> float:
+        """Theoretical upper tail dependence coefficient."""
+        pass
+
+    @property
+    @abstractmethod
+    def fitted_repr(self) -> str:
+        """String representation of the fitted copula."""
+        pass
+
+    @abstractmethod
+    def fit(self, X: npt.ArrayLike, y=None) -> "BaseBivariateCopula":
+        """Fit the copula model.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, 2)
+            An array of bivariate inputs `(u, v)` where each row represents a
+            bivariate observation. Both `u` and `v` must be in the interval [0, 1],
+            having been transformed to uniform marginals.
+
+        y : None
+            Ignored. Provided for compatibility with scikit-learn's API.
+
+        Returns
+        -------
+        self : BaseBivariateCopula
+            Returns the instance itself.
+        """
+        pass
+
+    @abstractmethod
+    def cdf(self, X: npt.ArrayLike) -> np.ndarray:
+        """Compute the CDF of the bivariate copula.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, 2)
+            An array of bivariate inputs `(u, v)` where each row represents a
+            bivariate observation. Both `u` and `v` must be in the interval `[0, 1]`,
+            having been transformed to uniform marginals.
+
+        Returns
+        -------
+        cdf : ndarray of shape (n_observations,)
+            CDF values for each observation in X.
+        """
+        pass
+
+    @abstractmethod
+    def partial_derivative(
+        self, X: npt.ArrayLike, first_margin: bool = False
+    ) -> np.ndarray:
+        r"""Compute the h-function (partial derivative) for the bivariate copula
+        with respect to a specified margin.
+
+        The h-function with respect to the second margin represents the conditional
+        distribution function of :math:`u` given :math:`v`:
+
+        .. math::
+            h(u \mid v) = \frac{\partial C(u,v)}{\partial v}
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, 2)
+            An array of bivariate inputs `(u, v)` where each row represents a
+            bivariate observation. Both `u` and `v` must be in the interval `[0, 1]`,
+            having been transformed to uniform marginals.
+
+        first_margin : bool, default=False
+            If True, compute the partial derivative with respect to the first
+            margin `u`; otherwise, compute the partial derivative with respect to the
+            second margin `v`.
+
+        Returns
+        -------
+        p : ndarray of shape (n_observations,)
+            h-function values :math:`h(u \mid v) \;=\; p` for each observation in X.
+        """
+        pass
+
+    @abstractmethod
+    def inverse_partial_derivative(
+        self, X: npt.ArrayLike, first_margin: bool = False
+    ) -> np.ndarray:
+        r"""Compute the inverse of the bivariate copula's partial derivative, commonly
+        known as the inverse h-function [1]_.
+
+        Let :math:`C(u, v)` be a bivariate copula. The h-function with respect to the
+        second margin is defined by
+
+        .. math::
+            h(u \mid v) \;=\; \frac{\partial\,C(u, v)}{\partial\,v},
+
+        which is the conditional distribution of :math:`U` given :math:`V = v`.
+        The **inverse h-function**, denoted :math:`h^{-1}(p \mid v)`, is the unique
+        value :math:`u \in [0,1]` such that
+
+        .. math::
+            h(u \mid v) \;=\; p,
+            \quad \text{where } p \in [0,1].
+
+        In practical terms, given :math:`(p, v)` in :math:`[0, 1]^2`,
+        :math:`h^{-1}(p \mid v)` solves for the :math:`u` satisfying
+        :math:`p = \partial C(u, v)/\partial v`.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, 2)
+            An array of bivariate inputs `(p, v)`, each in the interval `[0, 1]`.
+            - The first column `p` corresponds to the value of the h-function.
+            - The second column `v` is the conditioning variable.
+
+        first_margin : bool, default=False
+            If True, compute the inverse partial derivative with respect to the first
+            margin `u`; otherwise, compute the inverse partial derivative with respect
+            to the second margin `v`.
+
+        Returns
+        -------
+        u : ndarray of shape (n_observations,)
+            A 1D-array of length `n_observations`, where each element is the computed
+            :math:`u = h^{-1}(p \mid v)` for the corresponding pair in `X`.
+
+        References
+        ----------
+        .. [1] "Multivariate Models and Dependence Concepts", Joe, H. (1997)
+        .. [2] "An Introduction to Copulas", Nelsen, R. B. (2006)
+        """
+        pass
+
+    @abstractmethod
+    def score_samples(self, X: npt.ArrayLike) -> np.ndarray:
+        """Compute the log-likelihood of each sample (log-pdf) under the model.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, 2)
+            An array of bivariate inputs `(u, v)` where each row represents a
+            bivariate observation. Both `u` and `v` must be in the interval `[0, 1]`,
+            having been transformed to uniform marginals.
+
+        Returns
+        -------
+        density : ndarray of shape (n_observations,)
+            The log-likelihood of each sample under the fitted copula.
+        """
+        pass
+
+    def sample(self, n_samples: int = 1):
+        """Generate random samples from the bivariate copula using the inverse
+        Rosenblatt transform.
+
+        Parameters
+        ----------
+        n_samples : int, default=1
+            Number of samples to generate.
+
+        Returns
+        -------
+        X : array-like of shape (n_samples, 2)
+            An array of bivariate inputs `(u, v)` where each row represents a
+            bivariate observation. Both `u` and `v` are uniform marginals in the
+            interval `[0, 1]`.
+        """
+        skv.check_is_fitted(self)
+        rng = sku.check_random_state(self.random_state)
+
+        # Generate independent Uniform(0, 1) samples
+        X = rng.random(size=(n_samples, 2))
+
+        # Apply the inverse Rosenblatt transform on the first variable.
+        X[:, 1] = self.inverse_partial_derivative(X, first_margin=True)
+        return X
+
+    def tail_concentration(self, quantiles: np.ndarray) -> np.ndarray:
+        """
+        Compute the tail concentration function for a set of quantiles.
+
+        The tail concentration function is defined as follows:
+         - For quantiles q ≤ 0.5:
+             C(q) = P(U ≤ q, V ≤ q) / q
+
+         - For quantiles q > 0.5:
+             C(q) = (1 - 2q + P(U ≤ q, V ≤ q)) / (1 - q)
+
+        where U and V are the pseudo-observations of the first and second variables,
+        respectively. This function returns the concentration values for each q
+        provided.
+
+        Parameters
+        ----------
+        quantiles : ndarray of shape (n_quantiles,)
+           A 1D array of quantile levels (values between 0 and 1) at which to compute
+           the tail concentration.
+
+        Returns
+        -------
+        concentration : ndarray of shape (n_quantiles,)
+           The computed tail concentration values corresponding to each quantile.
+
+        References
+        ----------
+        .. [1] "Quantitative Risk Management: Concepts, Techniques, and Tools",
+            McNeil, Frey, Embrechts (2005)
+
+        Raises
+        ------
+        ValueError
+           If any value in `quantiles` is not in the interval [0, 1].
+        """
+        quantiles = np.asarray(quantiles)
+        if not np.all((quantiles >= 0) & (quantiles <= 1)):
+            raise ValueError("quantiles must be between 0.0 and 1.0.")
+        X = np.stack((quantiles, quantiles)).T
+        cdf = self.cdf(X)
+        concentration = np.where(
+            quantiles <= 0.5,
+            cdf / quantiles,
+            (1.0 - 2 * quantiles + cdf) / (1.0 - quantiles),
+        )
+        return concentration
+
+    def plot_tail_concentration(
+        self, X: npt.ArrayLike | None = None, title: str | None = None
+    ) -> go.Figure:
+        """
+        Plot the tail concentration function.
+
+        This method computes the tail concentration function at 100 evenly spaced
+        quantile levels between 0.005 and 0.995.
+        The plot displays the concentration values on the y-axis and the quantile levels
+        on the x-axis.
+
+        The tail concentration is defined as:
+          - Lower tail: λ_L(q) = P(U₂ ≤ q | U₁ ≤ q)
+          - Upper tail: λ_U(q) = P(U₂ ≥ q | U₁ ≥ q)
+
+        where U₁ and U₂ are the pseudo-observations of the first and second variables,
+        respectively.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_samples, 2), optional
+            If provided, it is used to plot the empirical tail concentration for
+            comparison versus the model tail concentration.
+
+        title : str, optional
+            The title for the plot. If not provided, a default title based on the fitted
+            copula's representation is used.
+
+        Returns
+        -------
+        fig : go.Figure
+            A Plotly figure object containing the tail concentration curve.
+
+        References
+        ----------
+        .. [1] "Quantitative Risk Management: Concepts, Techniques, and Tools",
+            McNeil, Frey, Embrechts (2005)
+        """
+        if title is None:
+            title = f"Tail Concentration of Bivariate {self.__class__.__name__}"
+            if X is not None:
+                title += " vs Empirical"
+
+        quantiles = np.linspace(5e-3, 1.0 - 5e-3, num=100)
+        concentration = self.tail_concentration(quantiles)
+
+        tail_concentration_dict = {self.__class__.__name__: concentration}
+        if X is not None:
+            tail_concentration_dict["Empirical"] = empirical_tail_concentration(
+                X, quantiles=quantiles
+            )
+
+        fig = plot_tail_concentration(
+            tail_concentration_dict=tail_concentration_dict,
+            quantiles=quantiles,
+            title=title,
+            smoothing=1.3,
+        )
+        return fig
+
+    def plot_pdf_2d(self, title: str | None = None) -> go.Figure:
+        """
+        Plot a 2D contour of the estimated probability density function (PDF).
+
+        This method generates a grid over [0, 1]^2, computes the PDF, and displays a
+        contour plot of the PDF.
+        Contour levels are limited to the 97th quantile to avoid extreme densities.
+
+        Parameters
+        ----------
+        title : str, optional
+           The title for the plot. If not provided, a default title based on the fitted
+           copula's representation is used.
+
+        Returns
+        -------
+        fig : go.Figure
+           A Plotly figure object containing the 2D contour plot of the PDF.
+        """
+        skv.check_is_fitted(self)
+
+        if title is None:
+            title = f"PDF of the Bivariate {self.__class__.__name__}"
+
+        u = np.linspace(0.01, 0.99, 100)
+        U, V = np.meshgrid(u, u)
+        grid_points = np.column_stack((U.ravel(), V.ravel()))
+        pdfs = np.exp(self.score_samples(grid_points)).reshape(U.shape)
+        # After the 97th quantile, the pdf gets too dense, and it dilutes the plot.
+        end = round(np.quantile(pdfs, 0.97), 1)
+        fig = go.Figure(
+            data=go.Contour(
+                x=u,
+                y=u,
+                z=pdfs,
+                colorscale="Magma",
+                contours=dict(start=0, end=end, size=0.2),
+                line=dict(width=0),
+                colorbar=dict(title="PDF"),
+            )
+        )
+        fig.update_layout(
+            title=title,
+            xaxis_title="u",
+            yaxis_title="v",
+        )
+        return fig
+
+    def plot_pdf_3d(self, title: str | None = None) -> go.Figure:
+        """
+        Plot a 3D surface of the estimated probability density function (PDF).
+
+        This method generates a grid over [0, 1]^2, computes the PDF, and displays a
+        3D surface plot of the PDF using Plotly.
+
+        Parameters
+        ----------
+        title : str, optional
+           The title for the plot. If not provided, a default title based on the fitted
+           copula's representation is used.
+
+        Returns
+        -------
+        fig : go.Figure
+           A Plotly figure object containing a 3D surface plot of the PDF.
+        """
+        skv.check_is_fitted(self)
+
+        if title is None:
+            title = f"PDF of the Bivariate {self.__class__.__name__}"
+
+        u = np.linspace(0.03, 0.97, 100)
+        U, V = np.meshgrid(u, u)
+        grid_points = np.column_stack((U.ravel(), V.ravel()))
+        pdfs = np.exp(self.score_samples(grid_points)).reshape(U.shape)
+        fig = go.Figure(data=[go.Surface(x=U, y=V, z=pdfs, colorscale="Magma")])
+        fig.update_layout(
+            title=title, scene=dict(xaxis_title="u", yaxis_title="v", zaxis_title="PDF")
+        )
+        return fig