import numpy as np
from copulas.univariate import KernelDensity
from copulas.bivariate import Clayton
from copulas.multivariate import DVine
# 生成随机样本数据
np.random.seed(42)
n_samples = 1000
A = np.random.uniform(0, 1, n_samples)
B = np.random.uniform(0, 1, n_samples)
C = np.random.uniform(0, 1, n_samples)
D = np.random.uniform(0, 1, n_samples)
# 构建D-Vine copula并使用极大似然法估计参数
copula = DVine()
data = np.column_stack((A, B, C, D))
copula.fit(data)
# 计算A+D的估计区间
u_A = copula.cdf(data)[:, 0]
u_D = copula.cdf(data)[:, 3]
u_A_D = u_A + u_D - u_A * u_D
lower_bound_A_D = copula.inverse_transform(np.column_stack((u_A, np.zeros_like(u_A), np.zeros_like(u_A), u_D)))
upper_bound_A_D = copula.inverse_transform(np.column_stack((u_A, np.ones_like(u_A), np.zeros_like(u_A), u_D)))
print("A+D估计区间:")
print("下界:", lower_bound_A_D[:, 0].min(), "上界:", upper_bound_A_D[:, 0].max())
#copulas包python实现。利用极大似然法估计ABCD四个序列的建立D-Vine copula函数,并利用A和D的联合分布,计算A+D的估计区间。
最新推荐文章于 2024-03-08 22:48:12 发布