INNER CODE UNIT · Python
select_copula
sdv-dev/Copulas · copulas/bivariate/__init__.py:104
def select_copula(X):
r"""Select best copula function based on likelihood.
Given out candidate copulas the procedure proposed for selecting the one
that best fit to a dataset of pairs :math:`\{(u_j, v_j )\}, j=1,2,...n` , is as follows:
1. Estimate the most likely parameter :math:`\theta` of each copula candidate for the given
dataset.
2. Construct :math:`R(z|\theta)`. Calculate the area under the tail for each of the copula
candidates.
3. Compare the areas: :math:`a_u` achieved using empirical copula against the ones
achieved for the copula candidates. Score the outcome of the comparison from 3 (best)
down to 1 (worst).
4. Proceed as in steps 2- 3 with the lower tail and function :math:`L`.