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stochasticresearch/copula: Matlab Copula Toolbox

原作者: [db:作者] 来自: 网络 收藏 邀请

开源软件名称(OpenSource Name):

stochasticresearch/copula

开源软件地址(OpenSource Url):

https://github.com/stochasticresearch/copula

开源编程语言(OpenSource Language):

MATLAB 97.8%

开源软件介绍(OpenSource Introduction):

Overview

Contains many tools useful for copula modeling in Matlab that do not exist directly in the Statistics and Machine Learning toolbox. Highlights are:

  • Smooth empirical copula density estimation via Beta-Kernels for any D>=2.
  • Empirical copula function estimation for any D>=2
  • Sampling from calculated empirical copula for D>=2
  • Clayton/Frank/Gumbel copula PDF and sampling for D>=2

Directory Structure

  • algorithms/ - contains the core copula algorithms.
File Description
claytoncopulapdf.m Computes the Clayton Copula's PDF for D>=2
claytoncopularnd.m Samples from a D>=2 Clayton Copula
computeEmpiricalDiscreteProb.m Computes empirical multinomial distribution
continueRv.m Continues realizations of a discrete RV (see http://dx.doi.org/10.1016/j.jmva.2004.01.004)
empcopulaval.m Computes value of an empirical copula at a specified point in unit hypercube
empcopulapdf.m Computes empirical copula density given pseudo-observations
empcopulacdf.m Computes empirical copula function given pseudo-observations
empcopularnd.m Generates samples from an empirical copula
estMteDensity.m KDE with trucanted exponential distribution
frankcopulapdf.m Computes the Frank Copula's PDF for D>=2
frankcopularnd.m Samples from a D>=2 Frank Copula
gumbelcopulapdf.m Computes the Gumbel Copula's PDF for D>=2
gumbelcopularnd.m Samples from a D>=2 Gumbel Copula
hyperFunctionError.m Computes error between two hyper functions of the same dimensionality
log1mexp.m Convenience function for log(1-exp(a))
logserrnd.m Samples from the Log-Series distribution
pobs.m Computes pseudo-observations for a given (multivariate) random vector
stable1rnd.m Samples from the Stable Distribution
etstablernd.m Samples from the Exponentially Tilted Distribution
logrnd.m Samples from the Log Distribution
  • simulations/ - contains simulation code which uses the algorithms developed



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