Package jdistlib

Class StudentTCopula

java.lang.Object
jdistlib.StudentTCopula
All Implemented Interfaces:
Copula
public final class StudentTCopula extends Object implements Copula
Student-t copula parameterized by correlation and degrees of freedom.

  • Constructor Details

    • StudentTCopula

      public StudentTCopula(double[][] correlation, double degreesOfFreedom)

  • Method Details

    • fromKendallsTau

      public static StudentTCopula fromKendallsTau(double[][] tau, double degreesOfFreedom)

    • dimension

      public int dimension()
      Description copied from interface: Copula
      Number of coordinates.
      Specified by:
      dimension in interface Copula

    • getCorrelation

      public double[][] getCorrelation()

    • getDegreesOfFreedom

      public double getDegreesOfFreedom()

    • cumulative

      public double cumulative(double[] u)
      Description copied from interface: Copula
      Copula distribution function at u.
      Specified by:
      cumulative in interface Copula

    • 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

    • 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