-
Notifications
You must be signed in to change notification settings - Fork 4
/
DatagenCopulaBased.jl
51 lines (41 loc) · 1.61 KB
/
DatagenCopulaBased.jl
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
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
module DatagenCopulaBased
using Distributions
using Combinatorics
using HypothesisTests
using HCubature
using StatsBase
using QuadGK
using Roots
using SpecialFunctions
using Random
using LinearAlgebra
using Distributed
using SharedArrays
include("sampleunivdists.jl")
# dispatching of the generator
#include("copulagendat.jl")
# axiliary function for correlqations
include("corgen.jl")
include("marshallolkincopcor.jl")
include("archcopcorrelations.jl")
# particular copulas famillies
include("eliptic_fr_mo_copulas.jl")
include("archcopulagendat.jl")
include("nestedarchcopulagendat.jl")
include("chaincopulagendat.jl")
# change Gaussian data by adding higher order cross-correlations
include("add_higher_order_cors.jl")
export Gaussian_cop, Student_cop, Frechet_cop, Marshall_Olkin_cop
export Gumbel_cop, Gumbel_cop_rev, Clayton_cop, Clayton_cop_rev, AMH_cop, AMH_cop_rev, Frank_cop
export Nested_Clayton_cop, Nested_AMH_cop, Nested_Frank_cop, Nested_Gumbel_cop
export Double_Nested_Gumbel_cop, Hierarchical_Gumbel_cop
export Chain_of_Archimedeans, Chain_of_Frechet
export SpearmanCorrelation, KendallCorrelation, CorrelationType
export cormatgen, cormatgen_constant, cormatgen_toeplitz, convertmarg!
export cormatgen_constant_noised, cormatgen_toeplitz_noised, cormatgen_rand
export cormatgen_two_constant, cormatgen_two_constant_noised
export gcop2tstudent, gcop2frechet, gcop2marshallolkin, gcop2arch
export simulate_copula, simulate_copula!
# obsolete implemntations
#export tstudentcopulagen, gausscopulagen, frechetcopulagen, marshallolkincopulagen
end