clayton.rng.evd.HuslerReiss¶
- class clayton.rng.evd.HuslerReiss(sigmat=None, n_sample=1, dim=2)¶
Class for Husler Reiss copula model.
- Args:
- Extreme (object):
Extreme object
- Raises:
ValueError: if not an array ValueError: if not a squared matrix ValueError: if not CNSD
- Returns:
_type_: _description_
- abstract __init__(sigmat=None, n_sample=1, dim=2)¶
Instantiate HuslerReiss copula model
- Args:
- sigmat (ndarray, optional):
ndarray with shape (dim,dim). Defaults to None.
- n_sample (int, optional):
sample size. Defaults to 1.
- dim (int, optional):
dimension. Defaults to 2.
Methods
__init__
([sigmat, n_sample, dim])Instantiate HuslerReiss copula model
sample
(inv_cdf)Draws a bivariate sample the desired copula and invert it by a given generalized inverse of cumulative distribution function.
sample_unimargin
()Sample from extreme value copula with uniform margins.
Attributes
asy
copula_type
psi1
psi2
sigmat
theta