Package jdistlib

Class DVineCopula

java.lang.Object

jdistlib.DVineCopula

All Implemented Interfaces:

Copula, VineCopula

public final class DVineCopula
extends Object
implements VineCopula

Simplified D-vine copula assembled from bivariate conditional copulas.

Constructor Summary

Constructors

Constructor	Description
DVineCopula(PairCopula[]... pairs)	Creates a D-vine.

Method Summary

Modifier and Type	Method	Description
double	cumulative(double[] u)	Copula distribution function at u.
VineProbabilityResult	cumulativeResult(double[] u, int samples, RandomEngine random)	Estimates the lower-orthant CDF and reports Monte Carlo uncertainty.
int	dimension()	Number of coordinates.
PairCopula	getPairCopula(int level, int first)
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.
double[]	random(RandomEngine random)	Generates one vector of dependent uniform variates.

Methods inherited from class java.lang.Object

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

Methods inherited from interface jdistlib.Copula

density, diagnose, kendallsTau, random, random, random

Constructor Details

DVineCopula

public DVineCopula(PairCopula[]... pairs)

Creates a D-vine. Tree level contains pairs (i, i+level+1 | i+1,...,i+level) and therefore has d-level-1 entries.

Method Details

dimension

public int dimension()

Description copied from interface: Copula

Number of coordinates.

Specified by:

dimension in interface Copula

getPairCopula

public PairCopula getPairCopula(int level,
 int first)

logDensity

public double logDensity(double[] u)

Description copied from interface: Copula

Natural logarithm of the copula density at an interior point.

Specified by:

logDensity in interface Copula

cumulative

public double cumulative(double[] u)

Description copied from interface: Copula

Copula distribution function at u.

Specified by:

cumulative in interface Copula

cumulativeResult

public VineProbabilityResult cumulativeResult(double[] u,
 int samples,
 RandomEngine random)

Description copied from interface: VineCopula

Estimates the lower-orthant CDF and reports Monte Carlo uncertainty.

Specified by:

cumulativeResult in interface VineCopula

random

public double[] random(RandomEngine random)

Description copied from interface: Copula

Generates one vector of dependent uniform variates.

Specified by:

random in interface Copula

kendallsTau

public double kendallsTau(int first,
 int second)

Description copied from interface: Copula

Kendall's tau for a coordinate pair.

Specified by:

kendallsTau in interface Copula