Bicop

class Bicop(*args, **kwargs)

A class for bivariate copula models.

The model is fully characterized by the family, rotation (one of 0, 90, 180, 270), a matrix of parameters, and variable types (two strings, one for each variable, either "c" for continuous or "d" for discrete).

Implemented families (see BicopFamily):

| type          | full name             | string identifier     |
|---------------|-----------------------|-----------------------|
| -             | Independence          | "indep"               |
| Elliptical    | Gaussian              | "gaussian"            |
|               | Student t             | "student"             |
| Archimedean   | Clayton               | "clayton"             |
|               | Gumbel                | "gumbel"              |
|               | Frank                 | "frank"               |
|               | Joe                   | "joe"                 |
|               | Clayton-Gumbel (BB1)  | "bb1"                 |
|               | Joe-Gumbel (BB6)      | "bb6"                 |
|               | Joe-Clayton (BB7)     | "bb7"                 |
|               | Joe-Frank (BB8)       | "bb8"                 |
| Extreme-Value | Tawn                  | "tawn"                |
| Nonparametric | Transformation kernel | "tll"                 |

Attributes

family	The copula family.
nobs	The number of observations (only for fitted objects).
npars	The number of parameters (for nonparametric families, a conceptually similar definition).
parameters	The copula parameter(s).
parameters_lower_bounds	Gets lower bounds for copula parameters.
parameters_upper_bounds	Gets upper bounds for copula parameters.
rotation	The copula rotation.
tau	The Kendall's tau.
var_types	The type of the two variables.

Methods

__init__	Default constructor for the Bicop class.
aic	Evaluates the Akaike information criterion (AIC).
bic	Evaluates the Bayesian information criterion (BIC).
cdf	Evaluates the copula distribution.
fit	Fits a bivariate copula (with fixed family) to data.
from_data	Instantiates from data.
from_family	Instantiates a specific bivariate copula model.
from_file	Instantiates from a JSON file.
from_json	Instantiates from a JSON-like str object.
hfunc1	Evaluates the first h-function.
hfunc2	Evaluates the second h-function.
hinv1	Evaluates the inverse of the first h-function.
hinv2	Evaluates the inverse of the second h-function.
loglik	Evaluates the log-likelihood.
mbic	Evaluates the modified Bayesian information criterion (mBIC).
parameters_to_tau	Converts the copula parameters to Kendall's \(tau\).
pdf	Evaluates the copula density.
plot	Generates a plot for the Bicop object.
select	Selects the best fitting model.
simulate	Simulates from a bivariate copula.
tau_to_parameters	Converts a Kendall's \(\tau\) into copula parameters for one-parameter families.
to_file	Write the copula object into a JSON file.
to_json	Convert the copula into a nlohmann::json object.