BernsteinCopulaFactory¶
- class BernsteinCopulaFactory(*args)¶
BernsteinCopula copula factory.
This class allows one to estimate a copula in a nonparametric way as an
EmpiricalBernsteinCopula
.See also
Methods
ComputeAMISEBinNumber
(sample)Compute the optimal AMISE number of bins.
Compute the optimal log-likelihood number of bins by cross-validation.
Compute the optimal penalized Csiszar divergence number of bins.
build
(*args)Build the nonparametric Bernstein copula estimator based on the empirical copula.
Build the nonparametric Bernstein copula estimator based on the empirical copula.
buildEstimator
(*args)Build the distribution and the parameter distribution.
Accessor to the bootstrap size.
Accessor to the object's name.
getId
()Accessor to the object's id.
getName
()Accessor to the object's name.
Accessor to the object's shadowed id.
Accessor to the object's visibility state.
hasName
()Test if the object is named.
Test if the object has a distinguishable name.
setBootstrapSize
(bootstrapSize)Accessor to the bootstrap size.
setName
(name)Accessor to the object's name.
setShadowedId
(id)Accessor to the object's shadowed id.
setVisibility
(visible)Accessor to the object's visibility state.
- __init__(*args)¶
- static ComputeAMISEBinNumber(sample)¶
Compute the optimal AMISE number of bins.
- Parameters:
- sample2-d sequence of float, of dimension 1
The sample from which the optimal AMISE bin number is computed.
Notes
The number of bins is computed by minimizing the asymptotic mean integrated squared error (AMISE), leading to
where is the largest integer less than or equal to , the sample size and the sample dimension.
- static ComputeLogLikelihoodBinNumber(*args)¶
Compute the optimal log-likelihood number of bins by cross-validation.
- Parameters:
- sample2-d sequence of float, of dimension 1
The sample of size from which the optimal log-likelihood bin number is computed.
- kFractionint,
The fraction of the sample used for the validation.
Notes
Let be the given sample. If , the bin number is given by:
where is the density function of the
EmpiricalBernsteinCopula
associated to the sample and the bin number .If , the bin number is given by:
where and
- static ComputePenalizedCsiszarDivergenceBinNumber(*args)¶
Compute the optimal penalized Csiszar divergence number of bins.
- Parameters:
- sample2-d sequence of float, of dimension 1
The sample of size from which the optimal AMISE bin number is computed.
- f
Function
The function defining the Csiszar divergence of interest.
- alphafloat,
The penalization factor.
Notes
Let be the given sample. The bin number is given by:
where is the density function of the
EmpiricalBernsteinCopula
associated to the sample and the bin number , a Monte Carlo estimate of the Csiszar divergence, the exact Spearman correlation of the empirical Bernstein copula and the empirical Spearman correlation of the sample .The parameter is controlled by the ‘BernsteinCopulaFactory-SamplingSize’ key in
ResourceMap
.
- build(*args)¶
Build the nonparametric Bernstein copula estimator based on the empirical copula.
Available usages:
build()
build(sample)
build(sample, method, objective)
build(sample, m)
- Parameters:
- sample2-d sequence of float, of dimension d
The sample of size from which the copula is estimated.
- methodstr
The name of the bin number selection method. Possible choices are AMISE, LogLikelihood and PenalizedCsiszarDivergence. Default is LogLikelihood, given by the ‘BernsteinCopulaFactory-BinNumberSelection’ entry of
ResourceMap
.- mint
The number of sub-intervals in which all the edges of the unit cube are regularly partitioned.
- Returns:
- copula
Distribution
The estimated copula as a generic distribution.
- copula
- buildAsEmpiricalBernsteinCopula(*args)¶
Build the nonparametric Bernstein copula estimator based on the empirical copula.
Available usages:
buildAsEmpiricalBernsteinCopula()
buildAsEmpiricalBernsteinCopula(sample)
buildAsEmpiricalBernsteinCopula(sample, method, objective)
buildAsEmpiricalBernsteinCopula(sample, m)
- Parameters:
- sample2-d sequence of float, of dimension d
The sample of size from which the copula is estimated.
- methodstr
The name of the bin number selection method. Possible choices are AMISE, LogLikelihood and PenalizedCsiszarDivergence. Default is LogLikelihood, given by the ‘BernsteinCopulaFactory-BinNumberSelection’ entry of
ResourceMap
.- mint
The number of sub-intervals in which all the edges of the unit cube are regularly partitioned.
- Returns:
- copula
EmpiricalBernsteinCopula
The estimated copula as an empirical Bernstein copula.
- copula
- buildEstimator(*args)¶
Build the distribution and the parameter distribution.
- Parameters:
- sample2-d sequence of float
Sample from which the distribution parameters are estimated.
- parameters
DistributionParameters
Optional, the parametrization.
- Returns:
- resDist
DistributionFactoryResult
The results.
- resDist
Notes
According to the way the native parameters of the distribution are estimated, the parameters distribution differs:
Moments method: the asymptotic parameters distribution is normal and estimated by Bootstrap on the initial data;
Maximum likelihood method with a regular model: the asymptotic parameters distribution is normal and its covariance matrix is the inverse Fisher information matrix;
Other methods: the asymptotic parameters distribution is estimated by Bootstrap on the initial data and kernel fitting (see
KernelSmoothing
).
If another set of parameters is specified, the native parameters distribution is first estimated and the new distribution is determined from it:
if the native parameters distribution is normal and the transformation regular at the estimated parameters values: the asymptotic parameters distribution is normal and its covariance matrix determined from the inverse Fisher information matrix of the native parameters and the transformation;
in the other cases, the asymptotic parameters distribution is estimated by Bootstrap on the initial data and kernel fitting.
- getBootstrapSize()¶
Accessor to the bootstrap size.
- Returns:
- sizeinteger
Size of the bootstrap.
- getClassName()¶
Accessor to the object’s name.
- Returns:
- class_namestr
The object class name (object.__class__.__name__).
- getId()¶
Accessor to the object’s id.
- Returns:
- idint
Internal unique identifier.
- getName()¶
Accessor to the object’s name.
- Returns:
- namestr
The name of the object.
- getShadowedId()¶
Accessor to the object’s shadowed id.
- Returns:
- idint
Internal unique identifier.
- getVisibility()¶
Accessor to the object’s visibility state.
- Returns:
- visiblebool
Visibility flag.
- hasName()¶
Test if the object is named.
- Returns:
- hasNamebool
True if the name is not empty.
- hasVisibleName()¶
Test if the object has a distinguishable name.
- Returns:
- hasVisibleNamebool
True if the name is not empty and not the default one.
- setBootstrapSize(bootstrapSize)¶
Accessor to the bootstrap size.
- Parameters:
- sizeinteger
Size of the bootstrap.
- setName(name)¶
Accessor to the object’s name.
- Parameters:
- namestr
The name of the object.
- setShadowedId(id)¶
Accessor to the object’s shadowed id.
- Parameters:
- idint
Internal unique identifier.
- setVisibility(visible)¶
Accessor to the object’s visibility state.
- Parameters:
- visiblebool
Visibility flag.