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