clayton.rng.evd.TEV

class clayton.rng.evd.TEV(sigmat=None, psi1=None, n_sample=1, dim=2)

Class for t extreme value model.

Args:

Extreme (Extreme):

Extreme object.

Raises:

ValueError:

psi1 is not positive.

ValueError:

sigmat is not a squared matrix.

Returns:

clayton.rng.evd.TEV:

a TEV object.

abstract __init__(sigmat=None, psi1=None, n_sample=1, dim=2)

Instantiate TEV copula model.

Args:

sigmat (ndarray, optional):

ndarray of shape (dim,dim). Defaults to None.

psi1 (float, optional):

positive float. Defaults to None.

n_sample (int, optional):

sample size. Defaults to 1.

dim (int, optional):

dimension. Defaults to 2.

Methods

__init__([sigmat, psi1, n_sample, dim])	Instantiate TEV 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
invalid_thetas
psi1
psi2
sigmat
theta
theta_interval