Assemble copulasΒΆ

In this example we are going to merge a collection of independent copulas into one.

[1]:

from __future__ import print_function
import openturns as ot

[2]:

# create a collection of copulas
R = ot.CorrelationMatrix(3)
R[0, 1] = 0.5
R[0, 2] = 0.25
collection = [ot.FrankCopula(3.0), ot.NormalCopula(R), ot.ClaytonCopula(2.0)]

[3]:

# merge the copulas
copula = ot.ComposedCopula(collection)
print(copula)

ComposedCopula(FrankCopula(theta = 3), NormalCopula(R = [[ 1    0.5  0.25 ]
 [ 0.5  1    0    ]
 [ 0.25 0    1    ]]), ClaytonCopula(theta = 2))