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Wiliamson transform sampling v2 #51

Merged
merged 10 commits into from
Nov 8, 2023
Merged

Wiliamson transform sampling v2 #51

merged 10 commits into from
Nov 8, 2023

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lrnv
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@lrnv lrnv commented Nov 6, 2023

Fot the moment this implementation is barebone...
We also need documentation and bindings for a few known generators. and a lot of tests.

but otherwise this should work correctly.

In the future, some copulas may leverage this implmentation, in partiuclar the version that provide both the radial dist and the generator (if both are known, better give both).

We would also need the inverswe generator for some functions... maybe it can be provided through another field in the struct ? And/or computed automaticallly..

Exemples from Mcneil+Neshleova where the generator AND the williamson distribution are known analytically could be implemented as exemples

@lrnv lrnv mentioned this pull request Nov 6, 2023
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codecov bot commented Nov 6, 2023

Codecov Report

Merging #51 (6d6ed24) into main (d4d934a) will increase coverage by 2.54%.
The diff coverage is 78.57%.

❗ Current head 6d6ed24 differs from pull request most recent head 97d0170. Consider uploading reports for the commit 97d0170 to get more accurate results

@@            Coverage Diff             @@
##             main      #51      +/-   ##
==========================================
+ Coverage   77.26%   79.80%   +2.54%     
==========================================
  Files          22       25       +3     
  Lines         365      421      +56     
==========================================
+ Hits          282      336      +54     
- Misses         83       85       +2     
Files Coverage Δ
src/ArchimedeanCopulas/AMHCopula.jl 47.05% <100.00%> (+5.88%) ⬆️
src/ArchimedeanCopulas/ClaytonCopula.jl 93.33% <100.00%> (ø)
src/ArchimedeanCopulas/FrankCopula.jl 64.70% <100.00%> (+17.64%) ⬆️
src/ArchimedeanCopulas/GumbelCopula.jl 92.30% <100.00%> (ø)
src/ArchimedeanCopulas/JoeCopula.jl 83.33% <100.00%> (+16.66%) ⬆️
src/Copulas.jl 100.00% <ø> (ø)
.../univariate_distributions/WilliamsonFromFrailty.jl 100.00% <100.00%> (ø)
src/ArchimedeanCopula.jl 89.09% <92.85%> (+2.13%) ⬆️
src/ArchimedeanCopulas/WilliamsonCopula.jl 81.81% <81.81%> (ø)
...ate_distributions/ClaytonWilliamsonDistribution.jl 60.00% <60.00%> (ø)

... and 2 files with indirect coverage changes

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lrnv commented Nov 7, 2023

Waiting on JuliaRegistries/General#94910 to be merged

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lrnv commented Nov 7, 2023

@Santymax98 I think I have a propper implementation now using the williamson transform by default as we discuss by mail.

I will merge that tomorow (it is midnight in europe right now, i'm going to bed), if you want to take a look at it before ? Then starting tomorow once it is merged and published in the general registry we can start working on it to include your other archimedean models in the package :)

@lrnv lrnv merged commit 2af4c3e into main Nov 8, 2023
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@lrnv lrnv deleted the williamson2 branch November 8, 2023 09:56
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