Struct StudentTCopula 

pub struct StudentTCopula { /* private fields */ }

The Student t copula with correlation matrix R and nu degrees of freedom.

One draw takes y = L z as the Gaussian copula does, then a chi-square w with nu degrees of freedom (Marsaglia–Tsang gamma from the same stream), and returns u_j = T_nu(y_j / sqrt(w / nu)). Kendall’s tau is (2 / π) asin(R_ij), as for the Gaussian, but extremes occur together: the tail dependence is 2 T_{nu+1}(-sqrt((nu + 1)(1 - R_ij) / (1 + R_ij))).

Implementations

impl StudentTCopula

pub fn new(correlation: &[f64], dim: usize, nu: f64) -> Result<Self>

A t copula from a d × d correlation matrix (row-major, as for GaussianCopula::new) and nu > 0 degrees of freedom.

pub fn nu(&self) -> f64

Degrees of freedom.

Trait Implementations

impl Clone for StudentTCopula

fn clone(&self) -> StudentTCopula

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copula for StudentTCopula

fn dim(&self) -> usize

Number of dimensions.

fn sample(&self, rng: &mut StreamRng, u: &mut [f64])

Fills u (length dim) with one draw of uniforms in (0, 1).

impl Debug for StudentTCopula

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for StudentTCopula

fn eq(&self, other: &StudentTCopula) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for StudentTCopula