risk.GaussianCopula

The Gaussian copula with correlation matrix correlation.

Usage

risk.GaussianCopula()

Parameters

correlation: list of list of float

Symmetric, unit diagonal, positive definite.

Raises

ValueError

If the matrix is not a valid correlation matrix.

Examples

>>> from prospicio.risk import GaussianCopula
>>> c = GaussianCopula([[1.0, 0.5], [0.5, 1.0]])
>>> u = c.sample(3, seed=1)
>>> len(u), all(0.0 < x < 1.0 for row in u for x in row)

(3, True)

Attributes

Name	Description
dim	Number of dimensions.

---

dim

Number of dimensions.

dim: int

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