CopulaType.h File Reference

Enumerates the supported copula families. More...

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Enumerations
enum class	CopulaType { GAUSSIAN , STUDENT_T }
	Identifies the copula family used to model dependence. More...

Detailed Description

Enumerates the supported copula families.

This header defines CopulaType, an enum used to select which multivariate copula family should be instantiated by higher-level statistical factories such as CopulaFactory.

The copula determines the dependence structure between marginals, independently of the marginal distributions themselves.

Currently supported families are:

• Gaussian copula
• Student-t copula

See also

ICopula

GaussianCopula

StudentTCopula

CopulaFactory

Definition in file CopulaType.h.

Enumeration Type Documentation

CopulaType

enum class CopulaType

strong

Identifies the copula family used to model dependence.

This enum is typically passed to CopulaFactory::create() together with a compatible configuration object.

Enumerator
GAUSSIAN	Gaussian copula, defined by a correlation matrix.
STUDENT_T	Student-t copula, defined by a correlation matrix and degrees of freedom.

Definition at line 32 of file CopulaType.h.