GaussianCopula.h

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#ifndef GAUSSIANCOPULA_H
#define GAUSSIANCOPULA_H
 
#include "ICopula.h"
#include "GenericCopula.h"
#include "Matrix.h"
#include "AbstractConfig.h"
 
struct GaussianCopulaConfig : public AbstractConfig {
    RealMatrix R;   
};
 
class GaussianCopula final : public GenericCopula {
public:
    explicit GaussianCopula(unsigned int seed, RealMatrix R);
 
    std::vector<Vector> sample_u(std::size_t n) override;
 
    Vector sample_u() override;
 
    double log_density(Vector u) override;
 
    RealMatrix dlog_density(std::vector<double> u) override;
 
    RealMatrix ddlog_density(std::vector<double> u) override;
 
    LogDensityDiff log_c_dc_ddc(std::vector<double> u) override;
 
 
private:
    
    RealMatrix R;       
    RealMatrix R_inv;   
    RealMatrix L;       
    double logdet;      
};
 
#endif // GAUSSIANCOPULA_H