libopenturns-dev 1.7-3 / usr / include / openturns / swig / CopulaImplementation_doc.i

%define OT_Copula_doc
"Base class for copulas.

Notes
-----
To define the joined probability density function of the random input vector
:math:`\\\\vect{X}` by composition, one needs:

- the specification of the copula of interest :math:`C` with its parameters,
- the specification of the :math:`n_X` marginal laws of interest :math:`F_{X_i}`
  of the :math:`n_X` input variables :math:`X_i`.

The joined cumulative density function is therefore defined by :

.. math::

  \\\\Prob{X^1 \\\\leq x^1, X^2 \\\\leq x^2, \\\\cdots, X^{n_X} \\\\leq x^{n_X}}
      = C\\\\left( F_{X^1}(x^1),F_{X^2}(x^2),\\\\cdots,F_{X^{n_X}}(x^{n_X}) \\\\right)

Copulas allow to represent the part of the joined cumulative density function
which is not described by the marginal laws. It enables to represent the
dependence structure of the input variables. A copula is a special cumulative
density function defined on :math:`[0,1]^{n_X}` whose marginal distributions
are uniform on :math:`[0,1]`. The choice of the dependence structure is
disconnected from the choice of the marginal distributions.

A copula, restricted to :math:`[0,1]^{n_X}` is a :math:`n_U`-dimensional
cumulative density function with uniform marginals such as:

- :math:`C(\\\\vect{u}) \\\\geq 0, \\\\forall \\\\vect{u} \\\\in [0,1]^{n_U}`
- :math:`C(\\\\vect{u}) = u_i, \\\\forall \\\\vect{u}=(1,\\\\ldots,1,u_i,1,\\\\ldots,1)`
- For all :math:`N`-box 
  :math:`\\\\cB = [a_1,b_1] \\\\times \\\\cdots \\\\times [a_{n_U},b_{n_U}] \\\\in [0,1]^{n_U}`,
  we have :math:`\\\\cV_C(\\\\cB) \\\\geq 0`, where :

  - :math:`\\\\cV_C(\\\\cB) = \\\\sum_{i=1,\\\\cdots, 2^{n_U}} sign(\\\\vect{v}_i) \\\\times C(\\\\vect{v}_i)`,
    the summation being made over the :math:`2^{n_U}` vertices :math:`\\\\vect{v}_i` of :math:`\\\\cB`.
  - :math:`sign(\\\\vect{v}_i)= +1` if :math:`v_i^k = a_k` for an even number of
    :math:`k`'s, :math:`sign(\\\\vect{v}_i)= -1` otherwise.

See also
--------
ArchimedeanCopula, NormalCopula, ComposedCopula, SklarCopula
IndependentCopula, MinCopula, OrdinalSumCopula, FarlieGumbelMorgensternCopula"
%enddef
%feature("docstring") OT::CopulaImplementation
OT_Copula_doc