Fit a parametric copula¶

In this example we are going to estimate the parameters of a gaussian copula from a sample.

[1]:

from __future__ import print_function
import openturns as ot
import matplotlib.pyplot as plt

[2]:

# Create data
R = ot.CorrelationMatrix(2)
R[1, 0] = 0.4
copula = ot.NormalCopula(R)
sample = copula.getSample(500)

[3]:

# Estimate a normal copula
distribution = ot.NormalCopulaFactory().build(sample)
print(distribution)

NormalCopula(R = [[ 1        0.428625 ]
 [ 0.428625 1        ]])

[5]:

# The estimated parameters
distribution.getParameter()

[0.428625]

[4]:

# Draw fitted distribution
distribution.drawPDF()

[4]:

OpenTURNS