Sample from copula: a COPPY module

03/31/2022

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by   Alexis Boulin, et al.

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The modeling of dependence between random variables is an important subject in several applied fields of science. To this aim the copula function can be used as a margin-free description of the dependence structure. Several copulae belong to specific families such as Archimedean, Elliptical or Extreme. While software implementation of copulae has been thoroughly explored in software, methods to work with copula in are still in their infancy. To promote the dependence modeling with copula in , we have developed COPPY, a library that provides a range of random vector generation vector for copulae.