C-vine pdf #23
Open
C-vine pdf #23
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Owner
wgurecky
commented
Aug 19, 2019
•
wgurecky
commented
- New c-vine pdf and cdf routines.
- C-vine PDF is from "Dependence Modeling with Copulas" by Harry Joe, 2015. Pg. 113.
- No closed form cdf exists for a vine-copula. Integration is performed by quadpy (https://github.com/nschloe/quadpy), a quadrature package.
… uses quadrature in quadpy for integration
wgurecky
commented
Oct 10, 2019
starvine/vine/C_vine.py
Outdated
| j += 1 | ||
|
|
||
| dim = len(x.columns) | ||
| scheme = quadpy.ncube.stroud_cn_5_9(dim) |
There was a problem hiding this comment.
probably best to rework this. Unfortunately this can become extremely expensive in higher dimensions. Split hypercube up into chunks, then integrate pdf over each chunk. Try scipy.spatial.Delaunay to chop up integration domain, then use quadpy to perform the integration on each chunk.
wgurecky
commented
Oct 10, 2019
tests/test_C_vine_construct.py
Outdated
Comment on lines
94
to
101
| tstX['1a'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['2b'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['3c'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['4d'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| tstX['5e'] = [0.01, 0.4, 0.5, 0.6, 0.99, 0.999] | ||
| pdf_at_tstX = tstVine.vinePdf(tstX) | ||
| print(pdf_at_tstX) | ||
| self.assertTrue(np.all(pdf_at_tstX > 0.0)) |
There was a problem hiding this comment.
only check pdf on diagonal?
wgurecky
commented
Oct 10, 2019
| self.assertTrue(np.all(pdf_at_tstX > 0.0)) | ||
|
|
||
| # check vine cdf values | ||
| cdf_at_tstX = tstVine.vineCdf(tstX) |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.