Note
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Fit a parametric copulaΒΆ
In this example we are going to estimate the parameters of a gaussian copula from a sample.
import openturns as ot
import openturns.viewer as viewer
from matplotlib import pylab as plt
ot.Log.Show(ot.Log.NONE)
Create data
R = ot.CorrelationMatrix(2)
R[1, 0] = 0.4
copula = ot.NormalCopula(R)
sample = copula.getSample(500)
Estimate a normal copula
distribution = ot.NormalCopulaFactory().build(sample)
print(distribution)
NormalCopula(R = [[ 1 0.501533 ]
[ 0.501533 1 ]])
The estimated parameters
distribution.getParameter()
Draw fitted distribution
graph = distribution.drawPDF()
view = viewer.View(graph)
plt.show()