Package jdistlib

Class CopulaFitter

java.lang.Object

jdistlib.CopulaFitter

public final class CopulaFitter
extends Object

Rank transformation and dependence fitting for the built-in copula families.

Method Summary

Modifier and Type	Method	Description
static CopulaFitResult	fit(double[][] data, CopulaFamily family)
static CopulaFitResult	fit(double[][] data, CopulaFamily family, CopulaFitOptions options)	Fits raw observations after applying marginal ranks.
static CopulaFitResult	fitMixed(double[][] data, CopulaMarginal[] marginals, long seed, CopulaFamily family)	Fits declared marginals using a reproducible randomized transform.
static CopulaFitResult	fitMixed(double[][] data, CopulaMarginal[] marginals, long seed, CopulaFamily family, CopulaFitOptions options)	Fits declared marginals using a reproducible randomized transform.
static CopulaFitResult	fitMixed(double[][] data, CopulaMarginal[] marginals, CopulaFamily family)	Fits declared continuous/discrete marginals using midpoint transforms.
static CopulaFitResult	fitMixed(double[][] data, CopulaMarginal[] marginals, RandomEngine random, CopulaFamily family, CopulaFitOptions options)	Fits declared marginals using midpoint or randomized distributional transforms.
static CopulaFitResult	fitUniforms(double[][] uniforms, CopulaFamily family)
static CopulaFitResult	fitUniforms(double[][] uniforms, CopulaFamily family, CopulaFitOptions options)	Fits observations already transformed to the open unit hypercube.
static double[][]	kendallsTau(double[][] uniforms)	Pairwise empirical Kendall tau computed over untied pairs.
static double[][]	marginalTransforms(double[][] data, long seed, CopulaMarginal... marginals)	Applies a reproducible randomized distributional transform.
static double[][]	marginalTransforms(double[][] data, CopulaMarginal... marginals)	Applies marginal probability transforms.
static double[][]	marginalTransforms(double[][] data, RandomEngine random, CopulaMarginal... marginals)	Applies marginal probability transforms.
static double[][]	pseudoObservations(double[][] data)	Converts rectangular raw data to average-rank pseudo-observations.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

pseudoObservations

public static double[][] pseudoObservations(double[][] data)

Converts rectangular raw data to average-rank pseudo-observations.

marginalTransforms

public static double[][] marginalTransforms(double[][] data,
 CopulaMarginal... marginals)

Applies marginal probability transforms. Discrete coordinates use the midpoint of their CDF jump, producing a deterministic mixed-data transform.

marginalTransforms

public static double[][] marginalTransforms(double[][] data,
 RandomEngine random,
 CopulaMarginal... marginals)

Applies marginal probability transforms. With a random engine, each discrete CDF jump is randomized uniformly; with null, its midpoint is used.

marginalTransforms

public static double[][] marginalTransforms(double[][] data,
 long seed,
 CopulaMarginal... marginals)

Applies a reproducible randomized distributional transform.

fit

public static CopulaFitResult fit(double[][] data,
 CopulaFamily family)

fit

public static CopulaFitResult fit(double[][] data,
 CopulaFamily family,
 CopulaFitOptions options)

Fits raw observations after applying marginal ranks.

fitUniforms

public static CopulaFitResult fitUniforms(double[][] uniforms,
 CopulaFamily family)

fitMixed

public static CopulaFitResult fitMixed(double[][] data,
 CopulaMarginal[] marginals,
 CopulaFamily family)

Fits declared continuous/discrete marginals using midpoint transforms.

fitMixed

public static CopulaFitResult fitMixed(double[][] data,
 CopulaMarginal[] marginals,
 long seed,
 CopulaFamily family)

Fits declared marginals using a reproducible randomized transform.

fitMixed

public static CopulaFitResult fitMixed(double[][] data,
 CopulaMarginal[] marginals,
 long seed,
 CopulaFamily family,
 CopulaFitOptions options)

Fits declared marginals using a reproducible randomized transform.

fitMixed

public static CopulaFitResult fitMixed(double[][] data,
 CopulaMarginal[] marginals,
 RandomEngine random,
 CopulaFamily family,
 CopulaFitOptions options)

Fits declared marginals using midpoint or randomized distributional transforms.

fitUniforms

public static CopulaFitResult fitUniforms(double[][] uniforms,
 CopulaFamily family,
 CopulaFitOptions options)

Fits observations already transformed to the open unit hypercube.

kendallsTau

public static double[][] kendallsTau(double[][] uniforms)

Pairwise empirical Kendall tau computed over untied pairs.