risk.StudentTCopula

The Student t copula with correlation matrix correlation and nu

Usage

risk.StudentTCopula()

degrees of freedom: Gaussian-like correlation with joint extremes.

Parameters

correlation: list of list of float

Symmetric, unit diagonal, positive definite.

nu: float

Degrees of freedom, positive.

Raises

ValueError

If the matrix or nu is invalid.

Examples

>>> from prospicio.risk import StudentTCopula
>>> StudentTCopula([[1.0, 0.5], [0.5, 1.0]], 4.0).dim

2

Attributes

Name	Description
dim	Number of dimensions.
nu	Degrees of freedom.

---

dim

Number of dimensions.

dim: int

---

nu

Degrees of freedom.

nu: 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