Hi Eric,
The Student t copula is an elliptical copula, and as such there is no explicit
formula to exploit in order to improve the speed/accuracy of a dedicated
StudentCopula instead of using the generic SklarCopula applied to a
multivariate Student t distribution. The same thing is true for the
NormalCopula, but it appeared in OpenTURNS before the SklarCopula. So to build
eg a 3D Student copula you need, you can write:
import openturns as otnu = 2.5R = ot.CorrelationMatrix(3, [1.0, 0.2, 0.3, 0.2,
1.0, 0.1, 0.3, 0.1, 1.0])mean = [0.0]*3std = [1.0]*3# First optionmyCopula1 =
ot.Student(nu, mean, std, R).getCopula()# Second optionmyCopula2 =
ot.SklarCopula(ot.Student(nu, mean, std, R))
Cheers
Régis
Le jeudi 5 juillet 2018 à 10:51:24 UTC+2, Eric Marsden
<[email protected]> a écrit :
Hello,
I am interested in using the Student t copula, in its standard symmetric
form (implemented as tCopula in the copula library for R). It doesn't
seem to be implemented in OpenTurns; am I missing something?
Thanks,
Eric
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