GenericCopula.h File Reference

Base class providing RNG infrastructure for concrete copulas. More...

#include <random>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_randist.h>
#include <gsl/gsl_cdf.h>
#include <memory>
#include "ICopula.h"

Include dependency graph for GenericCopula.h:

This graph shows which files directly or indirectly include this file:

Go to the source code of this file.

Classes
class	GenericCopula
	Partial base implementation of a copula with RNG support. More...

Typedefs
using	gsl_rng_sptr = std::unique_ptr< gsl_rng, decltype(&gsl_rng_free)>

Variables
constexpr double	CLIP_U {1e-15}
	Small clipping threshold used to avoid exact 0 or 1 uniforms.

Detailed Description

Base class providing RNG infrastructure for concrete copulas.

This class does not implement the ICopula interface fully by itself, but centralizes the random-number generator setup shared by concrete copula implementations.

It uses a GSL RNG engine (currently Mersenne Twister) seeded at construction.

See also

ICopula

GaussianCopula

StudentTCopula

Definition in file GenericCopula.h.

Typedef Documentation

gsl_rng_sptr

using gsl_rng_sptr = std::unique_ptr<gsl_rng, decltype(&gsl_rng_free)>

Definition at line 12 of file GenericCopula.h.

Variable Documentation

CLIP_U

constexpr double CLIP_U {1e-15}

constexpr

Small clipping threshold used to avoid exact 0 or 1 uniforms.

Definition at line 30 of file GenericCopula.h.