StudentTCopula.h File Reference

Student-t copula implementation. More...

#include <gsl/gsl_sf.h>
#include "GenericCopula.h"
#include "Math.h"
#include "AbstractConfig.h"

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Classes
struct	StudentTCopulaConfig
	Configuration object for a Student-t copula. More...
class	StudentTCopula
	Student-t copula with correlation matrix and degrees of freedom. More...

Detailed Description

Student-t copula implementation.

This header defines:

• StudentTCopulaConfig, a lightweight config object holding the correlation matrix and the number of degrees of freedom,
• StudentTCopula, a Student-t copula based on a correlation matrix.

The Student-t copula is obtained from a multivariate Student latent vector:

• sample ,
• transform component-wise via the univariate Student-t CDF,
• obtain dependent uniforms .

Compared with the Gaussian copula, the Student-t copula can model stronger tail dependence.

See also

ICopula

GenericCopula

GaussianCopula

Definition in file StudentTCopula.h.