BicopFamily

class BicopFamily(value, names=None, *, module=None, qualname=None, type=None, start=1, boundary=None)

A bivariate copula family identifier.

Contains the following families:

  • indep: Independent copula,

  • gaussian: Gaussian copula,

  • student: Student t copula,

  • clayton: Clayton copula,

  • gumbel: Gumbel copula,

  • frank: Frank copula,

  • joe: Joe copula,

  • bb1: BB1 copula,

  • bb6: BB6 copula,

  • bb7: BB7 copula,

  • bb8: BB8 copula,

  • tawn: Tawn copula,

  • tll: Transformation local-likelihood (nonparametric) copula.

The following convenient sets of families are provided:

  • all contains all the families,

  • parametric contains the parametric families (all except tll),

  • nonparametric contains the nonparametric families (indep and tll),

  • one_par contains the parametric families with a single parameter (gaussian, clayton, gumbel, frank, and joe),

  • two_par contains the parametric families with two parameters (student, bb1, bb6, bb7, and bb8),

  • three_par contains the parametric families with three parameters (tawn),

  • elliptical contains the elliptical families (gaussian and student),

  • archimedean contains the archimedean families (clayton, gumbel, frank, joe, bb1, bb6, bb7, and bb8),

  • extreme_value contains the extreme value families (tawn and gumbel),

  • bb contains the BB families (bb1, bb6, bb7, and bb8),

  • itau families for which estimation by Kendall’s tau inversion is available (indep, gaussian, student, clayton, gumbel, frank, joe),

  • lt contains the families that are lower-tail dependent (clayton, bb1, bb7, tawn),

  • ut contains the families that are upper-tail dependent (gumbel, joe, bb1, bb6, bb7, bb8, tawn),

  • rotationless contains families that don’t have a rotation because they already cover positive and negative dependence (indep, gaussian, student, frank, tll).