statsmodels.distributions.copula.api.GumbelCopula¶
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class statsmodels.distributions.copula.api.GumbelCopula(theta=
None
, k_dim=2
)[source]¶ Gumbel copula.
Dependence is greater in the positive tail than in the negative.
\[C_\theta(u,v) = \exp\!\left[ -\left( (-\log(u))^\theta + (-\log(v))^\theta \right)^{1/\theta} \right]\]with \(\theta\in[1,\infty)\).
Methods
cdf
(u[, args])Evaluate cdf of Archimedean copula.
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.
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)
Last update:
Oct 03, 2024