ICopula.h File Reference

Abstract interface for multivariate copulas. More...

#include "Math.h"

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Classes
struct	LogDensityDiff
class	ICopula

Detailed Description

Abstract interface for multivariate copulas.

A copula models the dependence structure between random variables independently of their marginal distributions.

Implementations of this interface are expected to work on the unit cube:

• sampling returns vectors in ,
• density evaluation is performed on pseudo-observations / uniforms.

Typical workflow:

std::unique_ptr<ICopula> cop = ...;
std::vector<double> u = cop->sample_u();
double logc = cop->log_density(u);

See also

GaussianCopula

StudentTCopula

Definition in file ICopula.h.