matlab sym 画图,MATLAB绘制copula图形

% Code to generate iso-probability contour plots of bivariate

% distributions, all with N(0,1) marginal distributions and connected via various copulas

%

%  Andrew Patton

%

%  21 august 2006

% Written for the following paper:

%

% Patton, A.J., 2006, Copula-Based Models for Financial Time Series.

% To be published in T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.),

% "Handbook of Financial Time Series", Springer Verlag.

%

% http://fmg.lse.ac.uk/~patton

T = 100;  % takes only around 15 seconds when T=100 on a single-processor 2.6GHz machine

% i cannot see a difference in the printed graph based on T=100 vs T=500,

% though it is a lot smaller and faster to load. so just use T=100;

tic;

xx = (-2:4/(T-1):2)';

uu = normcdf(xx);

v = (0.02:0.03:0.2);

% 1. Normal copula

rho = 0.5;

zz = nines(T,T);  % this the the part of the pdf from the X variable

tic;

for ii=1:T;

zz(:,ii) = bivnormpdf(xx,xx(ii),[0,0],theta2rho(rho));

end

toc

figure(101);subplot(3,2,1),contour(xx,xx,zz,v,'r-'),...

title('Normal copula, \rho = 0.5');

figure(102);subplot(3,2,1),contour(xx,xx,zz,v,'k-'),...

title('Normal copula, \rho = 0.5');

hold on;subplot(3,2,1),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;

% 2. Student's t copula

rho = 0.5;

nu = 3;

zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable

tic;

for ii=1:T;

zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*tcopula_pdf(uu,uu(ii),rho,nu);

end

toc

figure(101);subplot(3,2,2),contour(xx,xx,zz,v,'m-'),...

title('Student''s t copula, \rho = 0.5, \nu = 3'),...

figure(102);subplot(3,2,2),contour(xx,xx,zz,v,'k-'),...

title('Student''s t copula, \rho = 0.5, \nu = 3'),...

hold on;subplot(3,2,2),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;

% 3. Clayton copula

kappa = 1;

zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable

tic;

for ii=1:T;

zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*clayton_pdf(uu,uu(ii),kappa);

end

toc

figure(101);subplot(3,2,3),contour(xx,xx,zz,v,'Color',[0 0.7 0]),...

title('Clayton copula, \kappa = 1');

figure(102);subplot(3,2,3),contour(xx,xx,zz,v,'k-'),...

title('Clayton copula, \kappa = 1');

hold on;subplot(3,2,3),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;

% 4. Gumbel copula

kappa = 1.5;

zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable

tic;

for ii=1:T;

zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*gumbel_pdf(uu,uu(ii),kappa);

end

toc

figure(101);subplot(3,2,4),contour(xx,xx,zz,v,'Color',[1 0.4 0]),...

title('Gumbel copula, \kappa = 1.5');

figure(102);subplot(3,2,4),contour(xx,xx,zz,v,'k-'),...

title('Gumbel copula, \kappa = 1.5');

hold on;subplot(3,2,4),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;

% 5. SJC copula

tauU = 0.45;

tauL = 0.2;

zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable

tic;

for ii=1:T;

zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*sym_jc_pdf(uu,uu(ii),tauU,tauL);

end

toc

figure(101);subplot(3,2,5),contour(xx,xx,zz,v,'Color',[0.5 0.5 0.5 ]),...

title('SJC copula, \tau^U = 0.45, \tau^L = 0.2');

figure(102);subplot(3,2,5),contour(xx,xx,zz,v,'k-'),...

title('SJC copula, \tau^U = 0.45, \tau^L = 0.2');

hold on;subplot(3,2,5),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;

% 6. Mixture of normals copula

rho1 = 0.95;

rho2 = 0.05;

zz = nines(T,T);  % this the the part of the pdf from the X variable

tic;

for ii=1:T;

zz(:,ii) = 0.5*bivnormpdf(xx,xx(ii),[0,0],theta2rho(rho1)) + 0.5*bivnormpdf(xx,xx(ii),[0,0],theta2rho(rho2));

end

toc

figure(101);subplot(3,2,6),contour(xx,xx,zz,v,'Color',[0 0 1 ]),...

title('Mixed normal copula, \rho_1 = 0.95, \rho_2 = 0.05');

figure(102);subplot(3,2,6),contour(xx,xx,zz,v,'k-'),...

title('Mixed normal copula, \rho_1 = 0.95, \rho_2 = 0.05');

hold on;subplot(3,2,6),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;