Search Results for "copula"

Copulas is a Python library for modeling multivariate distributions and sampling from them using copula functions. Given a table of numerical data, use Copulas to learn the distribution and generate new synthetic data following the same statistical properties. Choose from a variety of univariate distributions and copulas – including Archimedian Copulas, Gaussian Copulas and Vine Copulas. Compare real and synthetic data visually after building your model. Visualizations are available as 1D...

CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR) and Expected Shortfall (ES) statistics. The portfolio losses are obtained simulating the default times of obligors...

For an arbitrary-size colorant set, this tool will produce a list of Neugebauer primaries in Yates's order, compute the coefficient matrix to convert evaluations of the copula function to scalars, and write code to cache the copula evaluations and compute the scalars.