Installing copulalib

Installing copulalib can be done by downloading source file (copulalib--<version>.tar.gz), and after unpacking issuing the command:

python setup.py install

This requires the usual Distutils options available.

Or, download the copulalib--<version>.tar.gz file and issue the command:

pip /path/to/copulalib--<version>.tar.gz

Or, directly using the pip:

pip install copulalib

Usage

Import required modules:

import numpy as np
import matplotlib.pyplot as plt
from copulalib.copulalib import Copula

Generate random (normal distributed) numbers:

x = np.random.normal(size=100)
y = 2.5*x+ np.random.normal(size=100)

Make the instance of Copula class with x, y and clayton family:

foo = Copula(x, y, family='clayton')

Print the Kendall's rank correlation:

print foo.tau

Print spearmen's correlation:

print foo.sr

Print pearson's correlation:

print foo.pr

Print the parameter (theta) of copula:

print foo.theta

Generate the 1000 samples (U,V) of copula:

X1, Y1 = foo.generate_xy(1000)

For more details see the test.py file inside module.

Changelog

Any questions/comments

If you have any comment/suggestion/question, please feel free to write me at satkumartomer@gmail.com

So far, the documents are not well explained, I will be updating them soon.