FitControlsVinecop.__init__

FitControlsVinecop.__init__(self, family_set: collections.abc.Sequence[pyvinecopulib.BicopFamily] = [BicopFamily.indep, BicopFamily.gaussian, BicopFamily.student, BicopFamily.clayton, BicopFamily.gumbel, BicopFamily.frank, BicopFamily.joe, BicopFamily.bb1, BicopFamily.bb6, BicopFamily.bb7, BicopFamily.bb8, BicopFamily.tawn, BicopFamily.tll], parametric_method: str = 'mle', nonparametric_method: str = 'constant', nonparametric_mult: float = 1.0, trunc_lvl: int = 18446744073709551615, tree_criterion: str = 'tau', threshold: float = 0.0, selection_criterion: str = 'bic', weights: numpy.ndarray[dtype=float64, shape=(*), order='C'] = array([], dtype=float64), psi0: float = 0.9, preselect_families: bool = True, select_trunc_lvl: bool = False, select_threshold: bool = False, select_families: bool = True, show_trace: bool = False, num_threads: int = 1, tree_algorithm: str = 'mst_prim', allow_rotations: bool = True, seeds: collections.abc.Sequence[int] = []) → None

Instantiates custom controls for fitting vine copula models.

Parameters:

  • family_set – The set of copula families to consider (if empty, then all families are included).

  • parametric_method – The fit method for parametric families; possible choices: "mle", "itau".

  • nonparametric_method – The fit method for the local-likelihood nonparametric family (TLLs); possible choices: "constant", "linear", "quadratic".

  • nonparametric_mult – A factor with which the smoothing parameters are multiplied.

  • trunc_lvl – Truncation level for truncated vines.

  • tree_criterion – The criterion for selecting the spanning tree ("tau", "hoeffd", "rho", and "mcor" implemented so far) during the tree-wise structure selection.

  • threshold – For thresholded vines (0 = no threshold).

  • selection_criterion – The selection criterion ("loglik", "aic" or "bic") for the pair copula families.

  • weights – A vector of weights for the observations.

  • psi0 – Only for selection_criterion = "mbic", prior probability of non-independence.

  • preselect_families – Whether to exclude families before fitting based on symmetry properties of the data.

  • select_trunc_lvl – Whether the truncation shall be selected automatically.

  • select_threshold – Whether the threshold parameter shall be selected automatically.

  • select_families – Whether the families shall be selected automatically, or should the method simply update the parameters for the pair copulas already present in the model.

  • show_trace – Whether to show a trace of the building progress.

  • num_threads – Number of concurrent threads to use while fitting pair copulas within a tree; never uses more than the number of concurrent threads supported by the implementation.

  • tree_algorithm – The algorithm for building the spanning tree ("mst_prim", "mst_kruskal", "random_weighted", or "random_unweighted") during the tree-wise structure selection. "mst_prim" and "mst_kruskal" use Prim’s and Kruskal’s algorithms respectively to select the maximum spanning tree, maximizing the sum of the edge weights (i.e., tree_criterion). "random_weighted" and "random_unweighted" use Wilson’s algorithm to generate a random spanning tree, either with probability proportional to the product of the edge weights (weighted) or uniformly (unweighted).

  • allow_rotations – Allow rotations for the families when doing model selection (default: true).

  • seeds – A vector of random seeds for the random number generator for parts of the algorithm that are randomized (e.g., random tree selection).