Replies: 2 comments 5 replies
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Hi Irnv, I recently learned about copulas because I'd like to use them to generate some synthetic data. Of particular interest would be Vine copulas. That's how I found this package, which doesn't support them yet. However, I found this Which apparently has a nice implementation. Again, I've just learned about copulas, so I don't know how much use I can be, but I may be able to help. |
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Well, I guess that this implementation is in python right ? Here to obtain proper vines in Julia there is still a fair bit of work to be done. If you really need vines right now, I suggest going to R, with e.g. https://github.com/tnagler/VineCopula If you want to port things necessary to make vines happen here, then yeah i can help you, but its a large job :) |
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It is indeed a python implementation, I'm not opposed to doing some legwork. The package you linked is apparently no longer updated. They point to https://github.com/vinecopulib/vinecopulib which had a release just last month. I don't even need really need copulas lol, I just had an idea that may benefit from them. |
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Yes sorry, the current version is vinecopulib. This would be the "source" from wich we leverages algorithms and functionalities if we end up implementing vines someday. Basically, this will imply:
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Looks like I have some reading to do. I'm glad this package is still actively maintained. |
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It is and will continue to be ! If you want to give a shot at easier tasks, there are things to do around the package too, bugs to fix, etc... I would stay availibale to guide / help you if necessary :) |
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This is so heartening. I'm solo developing a package myself, i understand the pain/passion. I haven't registered it yet, and have to clean up the git history (start it afresh) because I started it for myself but then realised it could actually provide something of value. https://github.com/dcelisgarza/PortfolioOptimiser.jl No releases or registration yet because I want the docs and examples to be in a state where it can be used. |
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This roadmap was on the readme i moved it here to not lose it
Future developpements Roadmap
Next:
fit(dist,data; method="MLE")orfit(dist,data; method="itau")orfit(dist,data; method="irho").Maybe later:
NestedArchimedean, with automatic checking of nesting conditions for generators.Vines?Archimax?BernsteinCopulaandBetaCopulacould also be implemented.PatchworkCopulaandCheckerboardCopula: could be nice things to have :)Beta Was this translation helpful? Give feedback.
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