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QuantEcon / QuantEcon.py

A community based Python library for quantitative economics
https://quantecon.org/quantecon-py/
MIT License
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code for copulas --- suggestion #158

Open jstac opened 9 years ago

jstac commented 9 years ago

There's limited code in Python for working with or simulating copulas. This library

http://firsttimeprogrammer.blogspot.com.au/2015/02/copulalib-how-to-use-copulas-in-python.html https://pypi.python.org/pypi/copulalib/1.1.0

has some functionality but is tied to outdated dependencies. That code could be used as a starting point in QuantEcon with dependencies only in more modern packages.

jstac commented 9 years ago

It would be useful if the copulas could be initialized directly with parameters, rather than forcing the user to initialize them with data (from which parameters are estimated).

mmcky commented 9 years ago

@jstac I would be keen to help with this package. I will need to do a bit of homework to get up to speed. There is a recent paper motivating my interest in this topic.

Chessa A, Crimaldi I, Riccaboni M, Trapin L (2014) Cluster Analysis of Weighted Bipartite Networks: A New Copula-Based Approach. PLoS ONE 9(10): e109507. doi:10.1371/journal.pone.0109507

The copulalib code seems to have been merged into the ambhas package (https://pypi.python.org/pypi/ambhas/).

jstac commented 9 years ago

@mmcky Right. ambhas also has old dependencies and a bunch of stuff we wouldn't need so it would still be valuable to put together our own code. There's a fair bit of R code for copulas lying around, as well as the code in ambhas. The R code could be translated pretty easily.

sglyon commented 9 years ago

Before looking too much at the R code we should make sure it is non GPL, a lot of R code is...

Guo-Zhang commented 7 years ago

@sglyon It is GPL>=3. My team will work with this issue these days.