statsmodels.distributions.copula.api.ArchimedeanCopula¶

class statsmodels.distributions.copula.api.ArchimedeanCopula(transform, args=(), k_dim=2)[source]¶

Base class for Archimedean copulas

Parameters:¶

transform : instance of transformation class¶

Archimedean generator with required methods including first and second derivatives

args : tuple¶

Optional copula parameters. Copula parameters can be either provided when creating the instance or as arguments when calling methods.

k_dim : int¶

Dimension, number of components in the multivariate random variable. Currently only bivariate copulas are verified. Support for more than 2 dimension is incomplete.

Methods

cdf(u[, args])	Evaluate cdf of Archimedean copula.
fit_corr_param(data)	Copula correlation parameter using Kendall's tau of sample data.
logpdf(u[, args])	Evaluate log pdf of multivariate Archimedean copula.
pdf(u[, args])	Evaluate pdf of Archimedean copula.
plot_pdf([ticks_nbr, ax])	Plot the PDF.
plot_scatter([sample, nobs, random_state, ax])	Sample the copula and plot.
rvs([nobs, args, random_state])	Draw n in the half-open interval [0, 1).
tau_simulated([nobs, random_state])	Kendall's tau based on simulated samples.