copulas.hpp

Go to the documentation of this file.

// toolboxes/stats/include/nk/stats/copulas/copulas.hpp
//
// Copula density and CDF for the five MATLAB families:
//   Gaussian, t, Clayton, Frank, Gumbel.
//
// Inputs:
//   U  — n × d matrix of pseudo-uniform observations, entries in (0, 1)
//   R  — d × d correlation matrix (Gaussian, t)
//   α  — scalar association parameter (Clayton, Frank, Gumbel)
//   ν  — degrees of freedom (t)
//
// References:
//   • Nelsen, "An Introduction to Copulas", 2006.
//   • Joe, "Multivariate Models and Dependence Concepts", 1997.
 
#pragma once
 
#include <memory_resource>
#include <nk/value/value.hpp>
 
namespace nk::stats {

 

Value copulapdf_gaussian(const Value &U, const Value &R,
                         std::pmr::memory_resource *mr = nullptr);

Value copulacdf_gaussian(const Value &U, const Value &R,
                         std::pmr::memory_resource *mr = nullptr);

Value copulapdf_t(const Value &U, const Value &R, double nu,
                  std::pmr::memory_resource *mr = nullptr);

Value copulacdf_t(const Value &U, const Value &R, double nu,
                  std::pmr::memory_resource *mr = nullptr);

Value copulapdf_clayton(const Value &U, double alpha,
                        std::pmr::memory_resource *mr = nullptr);

Value copulacdf_clayton(const Value &U, double alpha,
                        std::pmr::memory_resource *mr = nullptr);

Value copulapdf_frank(const Value &U, double alpha,
                      std::pmr::memory_resource *mr = nullptr);

Value copulacdf_frank(const Value &U, double alpha,
                      std::pmr::memory_resource *mr = nullptr);

Value copulapdf_gumbel(const Value &U, double alpha,
                       std::pmr::memory_resource *mr = nullptr);

Value copulacdf_gumbel(const Value &U, double alpha,
                       std::pmr::memory_resource *mr = nullptr);
 

} // namespace nk::stats