risk.ArchimedeanCopula

An exchangeable Archimedean copula: Clayton, Gumbel, Frank or Joe.

Usage

risk.ArchimedeanCopula()

Parameters

family: (clayton, gumbel, frank, joe) = "clayton"

theta: float

Positive for Clayton and Frank; at least 1 for Gumbel and Joe.

dim: int

Raises

ValueError

If the family is unknown or theta is out of range.

Examples

>>> from prospicio.risk import ArchimedeanCopula
>>> c = ArchimedeanCopula("clayton", 2.0, 3)  # Kendall's tau 0.5
>>> c.dim, c.family

(3, ‘clayton’)

Attributes

Name	Description
dim	Number of dimensions.
family	Family name.
theta	Copula parameter.

---

dim

Number of dimensions.

dim: int

---

family

Family name.

family: str

---

theta

Copula parameter.

theta: float

Methods

Name	Description
sample()	n draws of uniforms; draw i uses stream i of seed.

---

sample()

n draws of uniforms; draw i uses stream i of seed.

Usage

sample(n, seed)

Parameters

n: int

seed: int

Returns

list of list of float