Pycop is the most complete tool for modeling multivariate dependence with Python. The package provides methods such as estimation, random sample generation, and graphical representation for commonly used copula functions. The package supports the use of mixture models defined as convex combinations of copulas. Other methods based on the empirical copula such as the non-parametric Tail Dependence Coefficient are given.
Some of the features covered:
- Elliptical copulas (Gaussian & Student) and common Archimedean Copulas functions
- Mixture model of multiple copula functions (up to 3 copula functions)
- Multivariate random sample generation
- Empirical copula method
- Parametric and Non-parametric Tail Dependence Coefficient (TDC)
| Copula | Bivariate Graph & Estimation |
Multivariate Simulation |
|---|---|---|
| Mixture | âś“ | âś“ |
| Gaussian | âś“ | âś“ |
| Student | âś“ | âś“ |
| Clayton | âś“ | âś“ |
| Rotated Clayton | âś“ | âś“ |
| Gumbel | âś“ | âś“ |
| Rotated Gumbel | âś“ | âś“ |
| Frank | âś“ | âś“ |
| Joe | âś“ | âś“ |
| Rotated Joe | âś“ | âś“ |
| Galambos | âś“ | âś— |
| Rotated Galambos | âś“ | âś— |
| BB1 | âś“ | âś— |
| BB2 | âś“ | âś— |
| FGM | âś“ | âś— |
| Plackett | âś“ | âś— |
| AMH | âś— | âś“ |
Install pycop using pip
pip install pycop
We first create a copula object by specifying the copula familly
from pycop import archimedean
cop = archimedean(family="clayton")Plot the cdf and pdf of the copula.
cop = archimedean(family="gumbel")
cop.plot_cdf([2], plot_type="3d", Nsplit=100 )
cop.plot_pdf([2], plot_type="3d", Nsplit=100, cmap="cividis" )
plot the contour
cop = archimedean(family="plackett")
cop.plot_cdf([2], plot_type="contour", Nsplit=100 )
cop.plot_pdf([2], plot_type="contour", Nsplit=100, )
It is also possible to add specific marginals
cop = archimedean.archimedean(family="clayton")
from scipy.stats import norm
marginals = [
{
"distribution": norm, "loc" : 0, "scale" : 0.8,
},
{
"distribution": norm, "loc" : 0, "scale": 0.6,
}]
cop.plot_mpdf([2], marginals, plot_type="3d",Nsplit=100,
rstride=1, cstride=1,
antialiased=True,
cmap="cividis",
edgecolor='black',
linewidth=0.1,
zorder=1,
alpha=1)
lvls = [0.02, 0.05, 0.1, 0.2, 0.3]
cop.plot_mpdf([2], marginals, plot_type="contour", Nsplit=100, levels=lvls)
mixture of 2 copulas
from pycop import mixture
cop = mixture(["clayton", "gumbel"])
cop.plot_pdf([0.2, 2, 2], plot_type="contour", Nsplit=40, levels=[0.1,0.4,0.8,1.3,1.6] )
# plot with defined marginals
cop.plot_mpdf([0.2, 2, 2], marginals, plot_type="contour", Nsplit=50)
cop = mixture(["clayton", "gaussian", "gumbel"])
cop.plot_pdf([1/3, 1/3, 1/3, 2, 0.5, 4], plot_type="contour", Nsplit=40, levels=[0.1,0.4,0.8,1.3,1.6] )
cop.plot_mpdf([1/3, 1/3, 1/3, 2, 0.5, 2], marginals, plot_type="contour", Nsplit=50)
from scipy.stats import norm
from pycop import simulation
n = 2 # dimension
m = 1000 # sample size
corrMatrix = np.array([[1, 0.8], [0.8, 1]])
u1, u2 = simulation.simu_gaussian(n, m, corrMatrix)Adding gaussian marginals, (using distribution.ppf from scipy.statsto transform uniform margin to the desired distribution)
u1 = norm.ppf(u1)
u2 = norm.ppf(u2)u1, u2 = simulation.simu_tstudent(n, m, corrMatrix, nu=1)
List of archimedean cop available
u1, u2 = simulation.simu_archimedean("gumbel", n, m, theta=2)
u1, u2 = 1 - u1, 1 - u2Rotated
u1, u2 = 1 - u1, 1 - u2
n = 3 # Dimension
m = 1000 # Sample size
corrMatrix = np.array([[1, 0.9, 0], [0.9, 1, 0], [0, 0, 1]])
u = simulation.simu_gaussian(n, m, corrMatrix)
u = norm.ppf(u)
u = simulation.simu_archimedean("clayton", n, m, theta=2)
u = norm.ppf(u)
Simulation from a mixture of 2 copulas
n = 3
m = 2000
combination = [
{"type": "clayton", "weight": 1/3, "theta": 2},
{"type": "gumbel", "weight": 1/3, "theta": 3}
]
u = simulation.simu_mixture(n, m, combination)
u = norm.ppf(u)
Simulation from a mixture of 3 copulas
corrMatrix = np.array([[1, 0.8, 0], [0.8, 1, 0], [0, 0, 1]])
combination = [
{"type": "clayton", "weight": 1/3, "theta": 2},
{"type": "student", "weight": 1/3, "corrMatrix": corrMatrix, "nu":2},
{"type": "gumbel", "weight": 1/3, "theta":3}
]
u = simulation.simu_mixture(n, m, combination)
u = norm.ppf(u)
Estimation available : CMLE
Import a sample with pandas
import pandas as pd
import numpy as np
df = pd.read_csv("data/msci.csv")
df.index = pd.to_datetime(df["Date"], format="%m/%d/%Y")
df = df.drop(["Date"], axis=1)
for col in df.columns.values:
df[col] = np.log(df[col]) - np.log(df[col].shift(1))
df = df.dropna()from pycop import estimation, archimedean
cop = archimedean("clayton")
data = df[["US","UK"]].T.values
param, cmle = estimation.fit_cmle(cop, data)clayton estim: 0.8025977727691012
from pycop import archimedean
cop = archimedean("clayton")
cop.LTDC(theta=0.5)
cop.UTDC(theta=0.5)For a mixture copula, the copula with lower tail dependence comes first, and the one with upper tail dependence is last.
from pycop import mixture
cop = mixture(["clayton", "gaussian", "gumbel"])
LTDC = cop.LTDC(weight = 0.2, theta = 0.5)
UTDC = cop.UTDC(weight = 0.2, theta = 1.5) Create an empirical copula object
from pycop import empirical
cop = empirical(df[["US","UK"]].T.values)Compute the non-parametric Upper TDC (UTDC) or the Lower TDC (LTDC) for a given threshold:
cop.LTDC(0.01) # i/n = 1%
cop.UTDC(0.99) # i/n = 99%Returns the optimal non-parametric TDC based on the heuristic plateau-finding algorithm from Frahm et al (2005) "Estimating the tail-dependence coefficient: properties and pitfalls"
cop.optimal_tdc("upper")
cop.optimal_tdc("lower")