statsmodels.distributions.copula.api.FrankCopula¶
-
class statsmodels.distributions.copula.api.FrankCopula(theta=
None
, k_dim=2
)[source]¶ Frank copula.
Dependence is symmetric.
\[C_\theta(\mathbf{u}) = -\frac{1}{\theta} \log \left[ 1- \frac{ \prod_j (1-\exp(- \theta u_j)) }{ (1 - \exp(-\theta)-1)^{d - 1} } \right]\]with \(\theta\in \mathbb{R}\backslash\{0\}, \mathbf{u} \in [0, 1]^d\).
Methods
cdf
(u[, args])Evaluate cdf of Archimedean copula.
cdfcond_2g1
(u[, args])Conditional cdf of second component given the value of first.
fit_corr_param
(data)Copula correlation parameter using Kendall's tau of sample data.
logpdf
(u[, args])Evaluate log pdf of multivariate Archimedean copula.
pdf
(u[, args])Evaluate pdf of Archimedean copula.
plot_pdf
([ticks_nbr, ax])Plot the PDF.
plot_scatter
([sample, nobs, random_state, ax])Sample the copula and plot.
ppfcond_2g1
(q, u1[, args])Conditional pdf of second component given the value of first.
rvs
([nobs, args, random_state])Draw n in the half-open interval
[0, 1)
.tau
([theta])tau_simulated
([nobs, random_state])Kendall's tau based on simulated samples.
theta_from_tau
(tau)