Copulas in Julia?

hi all,

I am looking for a native julia Copula package.
I have come across https://github.com/JuliaFinMetriX/Copulas.jl but it seems quite something to install - plus I can’t figure out the most basic things from the docs.

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Any news on Copulas in Julia?

Not that I know of. I’d go with RCall and the copula package. Of course depends what you need.

Thanks for the suggestion. If I end up coding something up myself, I will test against the R copula package.

Basically I just need to calculate the copulas themselves to construct multivariate distributions, this is in the background to solve a model of occupation choice.

not sure if you saw that, but i have a minimal thing that computes the copula density here https://github.com/floswald/Copulas.jl
you could start upgrading that to julia v1.x :wink:

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Oh I missed it. I quickly wrote what I needed: https://github.com/chrished/NormalCopula.jl

When I have time I’ll give a go on updating the package you wrote. I might not have time for a few weeks though…

And it would be very convenient to also define sampling functions that specify the marginals and copula and sample from the joint distribution.

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I’ve got a native Julia implementation of bivariate copulas (pi, W, M, gaussian, Clayton and frank) if it’s useful to anybody: https://github.com/AnderGray/BivariateCopulas.jl

You can do things like

  • Create bivariate distributions using any continuous distribution from Distributions.jl
  • Evaluate cdf and density of copulas and bivariate distributions
  • Sampling
  • Conditioning
  • Plots

Only bivariate for now, but would be good to generalise to N-D

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that looks beautiful! thanks!

(any reason you don’t register it yet? missing docs?)

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Thanks! No reason actually, I haven’t got around to it yet.

Will register shortly. Some docs and tests would be good though

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definitely. are you familiar with setting up docs and testing on github actions? i could file a PR if not. (i basically copy stuff from GitHub - JuliaLang/Example.jl: Example Julia package repo. )

I’ve registered a couple, wasn’t aware of the examples tho :smiley:

I think I’ll register it without testing and docs for now though.

BivariateCopulas.jl should now be registered

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:+1:

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