GenericCopula Class Reference

Partial base implementation of a copula with RNG support. More...

#include <GenericCopula.h>

Inheritance diagram for GenericCopula:

Collaboration diagram for GenericCopula:

Public Member Functions
	GenericCopula (unsigned int seed=std::random_device{}())
	Constructs the copula base with a seeded random engine.
Public Member Functions inherited from ICopula
virtual	~ICopula ()=default
	Virtual destructor.
virtual std::vector< std::vector< double > >	sample_u (std::size_t n)=0
	Draws multiple samples from the copula.
virtual std::vector< double >	sample_u ()=0
	Draws a single sample from the copula.
virtual double	log_density (std::vector< double > u)=0
	Evaluates the log-density of the copula at a point in the unit cube.
virtual RealMatrix	dlog_density (std::vector< double > u)=0
	Evaluates the gradient of the log-density of the copula at a point in the unit cube.
virtual RealMatrix	ddlog_density (std::vector< double > u)=0
	Evaluates the hessian of the log-density of the copula at a point in the unit cube.
virtual LogDensityDiff	log_c_dc_ddc (std::vector< double > u)=0
	Evaluates the value, gradient and hessian of the log-density of the copula at a point in the unit cube.

Protected Attributes
const gsl_rng_type *	rng_tp {gsl_rng_mt19937}
gsl_rng_sptr	eng_ {nullptr, &gsl_rng_free}
	GSL RNG type used by the copula.

Detailed Description

Partial base implementation of a copula with RNG support.

This class mainly exists to factorize:

• GSL RNG type selection,
• generator allocation and initialization.

Derived classes are responsible for:

• specifying the dependence structure,
• implementing sampling and log-density evaluation.

Definition at line 44 of file GenericCopula.h.

Constructor & Destructor Documentation

GenericCopula()

GenericCopula::GenericCopula ( unsigned int  seed = std::random_device{}() )

explicit

Constructs the copula base with a seeded random engine.

Parameters

seed	Seed used to initialize the underlying GSL RNG.

Definition at line 3 of file GenericCopula.cpp.

Member Data Documentation

eng_

gsl_rng_sptr GenericCopula::eng_ {nullptr, &gsl_rng_free}

protected

GSL RNG type used by the copula.

Definition at line 55 of file GenericCopula.h.

rng_tp

const gsl_rng_type* GenericCopula::rng_tp {gsl_rng_mt19937}

protected

Definition at line 54 of file GenericCopula.h.

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The documentation for this class was generated from the following files:

• /home/runner/work/Hyperiso/Hyperiso/Hyperiso/Hyperiso/core/src/Statistic/domain/Copula/GenericCopula.h
• /home/runner/work/Hyperiso/Hyperiso/Hyperiso/Hyperiso/core/src/Statistic/domain/Copula/GenericCopula.cpp