Vinecop.fit

Vinecop.fit(self: pyvinecopulib.Vinecop, data: numpy.ndarray[numpy.float64[m, n]], controls: pyvinecopulib.FitControlsBicop = FitControlsBicop(), num_threads: int = 1) → None

Fits the parameters of a pre-specified vine copula model.

This method fits the pair-copulas of a vine copula model. It is assumed that the structure and pair-copula families are already set. The method is equivalent to calling fit() for each pair-copula in the model. The same can be achieved by calling select() with the same data and a FitControlsVinecop object instantiated with select_families = false.

Parameters:

  • data – \(n \times (d + k)\) or \(n \times 2d\) matrix of observations, where \(k\) is the number of discrete variables.

  • controls – The controls for each bivariate fit (see FitControlsBicop()).

  • num_threads – The number of threads to use for parallel computation.