Multivariate::GumbelCopula Class Reference

Inheritance diagram for Multivariate::GumbelCopula:

Public Member Functions
	GumbelCopula (unsigned int Dimension)
	GumbelCopula (unsigned int Dimension, double theta)
Eigen::VectorXd	GetQuantile (double Prob) const
	Computes the inverse copula function in correspondence of the supplied probability. More...
double	GetUpperTailDependence () const
bool	SetTheta (double t)
	Set the dependence parameter. More...
bool	SetUpperTailDependence (double utd)
Public Member Functions inherited from Multivariate::AbstractArchimedean
Eigen::RowVectorXd	ExtractSample () const
	Generates a single simulation from the copula. More...
virtual Eigen::MatrixXd	ExtractSamples (unsigned int NumSamples) const
	Generates multiple simulations from the copula. More...
std::map< unsigned int, std::vector< double > >	ExtractSamplesMap (unsigned int NumSamples) const
	Generates multiple simulations from the copula. More...
std::vector< double >	ExtractSampleVector () const
	Generates a single simulation from the copula. More...
virtual double	GetCumulativeDesity (const Eigen::VectorXd &Coordinates) const
	Computes the copula function in correspondence of the supplied coordinates. More...
double	GetCumulativeDesity (const std::vector< double > &Coordinates) const
	Computes the copula function in correspondence of the supplied coordinates. More...
unsigned int	GetCurrentSeed () const
	Get the random number generator seed. More...
virtual double	GetDensity (const Eigen::VectorXd &Coordinates) const
	Computes the probability density function of the copula in correspondence of the supplied coordinates. More...
double	GetDensity (const std::vector< double > &Coordinates) const
	Computes the probability density function of the copula in correspondence of the supplied coordinates. More...
unsigned int	GetDimension () const
	Get the dimensionality of the copula. More...
std::vector< double >	GetQuantileVector (double Prob) const
	Computes the inverse copula function in correspondence of the supplied probability. More...
double	GetTheta () const
	Get the dependence parameter. More...
bool	IsValid () const
	Check if the copula is valid. More...
bool	SetDimension (unsigned int Dimension)
	Set the dimensionality of the copula. More...
void	SetRandomSeed (unsigned int NewSeed)
	Set the random number generator seed. More...
double *	GetQuantileArray (double Prob)
	Computes the inverse copula function in correspondence of the supplied probability. More...
double	GetCumulativeDesity (double *Coordinates) const
	Computes the copula function in correspondence of the supplied coordinates. More...
double	GetDensity (double *Coordinates) const
	Computes the probability density function of the copula in correspondence of the supplied coordinates. More...
double *	ExtractSampleArray () const
	Generates a single simulation from the copula. More...
double **	ExtractSamplesMatix (unsigned int NumSamples) const
	Generates a single simulation from the copula. More...

Friends
template<class F , class T >
void	boost::math::tools::detail::handle_zero_derivative (F f, T &last_f0, const T &f0, T &delta, T &result, T &guess, const T &min, const T &max)
template<class F , class T >
T	boost::math::tools::newton_raphson_iterate (F f, T guess, T min, T max, int digits)
template<class F , class T >
T	boost::math::tools::newton_raphson_iterate (F f, T guess, T min, T max, int digits, boost::uintmax_t &max_iter)

Member Function Documentation

Eigen::VectorXd GumbelCopula::GetQuantile ( double  Prob ) const

virtual

Computes the inverse copula function in correspondence of the supplied probability.

Parameters

Prob	The probability for which the corresponding quantile must be found

Returns

A vector containing the coordinates of the quantile

This is a pure virtual function. Refer to child documentation for specific implementation details

Implements Multivariate::AbstractArchimedean.

bool Multivariate::GumbelCopula::SetTheta ( double  t )

inlinevirtual

Set the dependence parameter.

Returns

Always true

This function sets the value of the parameter \( \theta \) that governs the dependence

This implementation won't perform any check on \( \theta \). See the derived class documentation for specific restrictions

See Also

GetTheta()

Reimplemented from Multivariate::AbstractArchimedean.