1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
|
#! /usr/bin/env python
import openturns as ot
import openturns.testing as ott
ot.TESTPREAMBLE()
if not ot.PlatformInfo.HasFeature("boost"):
exit(0)
dim = 2
nu = 4.5
R = ot.CorrelationMatrix(dim, [1.0, 0.5, 0.5, 1.0])
distribution = ot.StudentCopula(nu, R)
size = 100000
sample = distribution.getSample(size)
factory = ot.StudentCopulaFactory()
estimatedDistribution = factory.build(sample)
print("distribution=", repr(distribution))
print("Estimated distribution=", repr(estimatedDistribution))
ott.assert_almost_equal(estimatedDistribution.getParameter()[0], nu, 1e-1, 1e-1)
ott.assert_almost_equal(estimatedDistribution.getParameter()[-1], 0.5, 1e-1, 1e-1)
estimatedDistribution = factory.build()
print("Default distribution=", estimatedDistribution)
estimatedDistribution = factory.build(distribution.getParameter())
print("Distribution from parameters=", estimatedDistribution)
estimatedStudentCopula = factory.buildAsStudentCopula(sample)
print("StudentCopula =", distribution)
print("Estimated copula=", estimatedStudentCopula)
estimatedStudentCopula = factory.buildAsStudentCopula()
print("Default copula=", estimatedStudentCopula)
estimatedStudentCopula = factory.buildAsStudentCopula(distribution.getParameter())
print("StudentCopula from parameters=", estimatedStudentCopula)
|
