M/PhXBdZddlZddlmZd dZGddeZdS) zc Extreme Value Copulas Created on Fri Jan 29 19:19:45 2021 Author: Josef Perktold License: BSD-3 N)Copulac |\}}tjtj||z|tj|tj||zz g|RzS)z+generic bivariate extreme value copula )npexplog)u transformargsvs n/var/www/html/test/jupyter/venv/lib/python3.11/site-packages/statsmodels/distributions/copula/extreme_value.py copula_bv_evr sY DAq 6"&Q--99RVAYYrvac{{-B#JT#J#J#JK L LLcPeZdZdZd fd ZdZd dZd dZd dZd d Z d Z xZ S) ExtremeValueCopulaaSExtreme value copula constructed from Pickand's dependence function. Currently only bivariate copulas are available. Parameters ---------- transform: instance of transformation class Pickand's dependence function 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 Currently only bivariate extreme value copulas are supported. Notes ----- currently the following dependence function and copulas are available - AsymLogistic - AsymNegLogistic - AsymMixed - HR TEV and AsymBiLogistic currently do not have required derivatives for pdf. See Also -------- dep_func_ev rct|||_|j|_||_|dkrt ddS)N)k_dimrz(Only bivariate EV copulas are available.)super__init__r k_argsr ValueError)selfr r r __class__s rrzExtremeValueCopula.__init__5sU u%%%"&  A::GHH H :rct|tjrt|}|dks||j}t|ts|f}|S)Nr) isinstancerndarraytupler )rr s r _handle_argszExtremeValueCopula._handle_args=sU dBJ ' ' ;;D 2::9D$&& 7D rc ,tj|j\}}||}tjtj||z|jtj|tj||zz g|Rz}|S)aJEvaluate cdf of bivariate extreme value copula. Parameters ---------- u : array_like Values of random bivariate random variable, each defined on [0, 1], for which cdf is computed. Can be two dimensional with multivariate components in columns and observation in rows. args : tuple Required parameters for the copula. The meaning and number of parameters in the tuple depends on the specific copula. Returns ------- CDF values at evaluation points. )rasarrayTr rr r )rr r r cdfvs rcdfzExtremeValueCopula.cdfIs&z!}}1  &&vbfQUmm$dnRVAYYrvac{{%:BTBBBCDD rc|j}tj|j\}}||}tj||z}tj||z }|||}||g|R} |j|g|R} |j|g|R} |||zz | d|z | zz| || zz z| d|z z|z|z z z} | S)aJEvaluate pdf of bivariate extreme value copula. Parameters ---------- u : array_like Values of random bivariate random variable, each defined on [0, 1], for which cdf is computed. Can be two dimensional with multivariate components in columns and observation in rows. args : tuple Required parameters for the copula. The meaning and number of parameters in the tuple depends on the specific copula. Returns ------- PDF values at evaluation points. r) r rr"r#r r r%derivderiv2) rr r tru1u2log_u12tr%depd1d2pdf_s rpdfzExtremeValueCopula.pdfbs$^AB  &&&b// F2JJ hhq$blTlll RXa $    RYq 4 b2g3!a%2#5#B,"G"$A,"2W"<#=> rcTtj|||S)aREvaluate log-pdf of bivariate extreme value copula. Parameters ---------- u : array_like Values of random bivariate random variable, each defined on [0, 1], for which cdf is computed. Can be two dimensional with multivariate components in columns and observation in rows. args : tuple Required parameters for the copula. The meaning and number of parameters in the tuple depends on the specific copula. Returns ------- Log-pdf values at evaluation points. )r )rr r2rr r s rlogpdfzExtremeValueCopula.logpdfs$$vdhhqth,,---rct)uconditional distribution not yet implemented C2|1(u2|u1) := ∂C(u1, u2) / ∂u1 = C(u1, u2) / u1 * (A(t) − t A'(t)) where t = np.log(v)/np.log(u*v) NotImplementedErrorr4s rconditional_2g1z"ExtremeValueCopula.conditional_2g1s "!rct)Nr7)rdatas rfit_corr_paramz!ExtremeValueCopula.fit_corr_params!!r)rrr) __name__ __module__ __qualname____doc__rr r%r2r5r9r< __classcell__)rs@rrrs@IIIIII   2B....( " " " """"""""rrr=)rAnumpyrcopulasrrrrrrrEsMMMMO"O"O"O"O"O"O"O"O"O"r