Package jdistlib

Interface Copula

All Known Subinterfaces:
VineCopula
All Known Implementing Classes:
BB1Copula, ClaytonCopula, CVineCopula, DVineCopula, FrankCopula, GaussianCopula, GumbelCopula, IndependenceCopula, JoeCopula, RotatedCopula, StudentTCopula
public interface Copula
A copula on the unit hypercube.

Implementations are immutable. Density methods are defined on the open unit hypercube; use diagnose(double[]) before interpreting a density at an exact boundary point.

  • Method Summary

    Modifier and Type
    Method
    Description
    double
    cumulative(double[] u)
    Copula distribution function at u.
    default double
    density(double[] u)
    Copula density at an interior point.
    default CopulaDiagnostics
    diagnose(double[] u)
    Classifies the point for safe CDF and density interpretation.
    int
    dimension()
    Number of coordinates.
    default double[][]
    kendallsTau()
    Matrix of all pairwise Kendall's tau values.
    double
    kendallsTau(int first, int second)
    Kendall's tau for a coordinate pair.
    double
    logDensity(double[] u)
    Natural logarithm of the copula density at an interior point.
    default double[][]
    random(int count, long seed)
    Generates count vectors using a new deterministic stream.
    default double[][]
    random(int count, RandomEngine random)
    Generates count vectors from one stream.
    default double[]
    random(long seed)
    Generates one vector using a new deterministic stream.
    double[]
    random(RandomEngine random)
    Generates one vector of dependent uniform variates.

  • Method Details

    • dimension

      int dimension()
      Number of coordinates.

    • cumulative

      double cumulative(double[] u)
      Copula distribution function at u.

    • logDensity

      double logDensity(double[] u)
      Natural logarithm of the copula density at an interior point.

    • density

      default double density(double[] u)
      Copula density at an interior point.

    • random

      double[] random(RandomEngine random)
      Generates one vector of dependent uniform variates.

    • random

      default double[] random(long seed)
      Generates one vector using a new deterministic stream.

    • random

      default double[][] random(int count, RandomEngine random)
      Generates count vectors from one stream.

    • random

      default double[][] random(int count, long seed)
      Generates count vectors using a new deterministic stream.

    • kendallsTau

      double kendallsTau(int first, int second)
      Kendall's tau for a coordinate pair.

    • kendallsTau

      default double[][] kendallsTau()
      Matrix of all pairwise Kendall's tau values.

    • diagnose

      default CopulaDiagnostics diagnose(double[] u)
      Classifies the point for safe CDF and density interpretation.