Maxime Nicolas

icon indicating a website link www.linkedin.com/in/maximenicolas3 icon indicating an email [email protected]

icon company University College London icon location London / Paris

Results 4 comments of Maxime Nicolas

Wrong get_pdf formula for Gaussian copula

Hi @shudabee, The function was corrected by @ioannisrpt, since using ```scipy.stats.multivariate_normal``` was triggering issues during the estimation: [pycop/issues/4](https://github.com/maximenc/pycop/issues/4). Here is a proof that @ioannisrpt's code is correct: Given a correlation...

distutils deprecated in Python 3.12 causing import error

Hi @ARBQuant, Thanks for noticing, the problem should fixed in the new release: [v0.0.12](https://github.com/maximenc/pycop/tree/v0.0.12)

Can I specify the marginal distribution as one type of distribution and the copula as another type of distribution when estimating parameters？

Hi @piper0124, The Canonical Maximum Likelihood Estimation (CMLE) estimates the copula parameters without requiring the specification of the marginals (during the estimation, the marginals are replaced by scaled ranks). For...

support time varying copulas

Hi @jacktang, Not currently, but we could consider adding this if you have a specific model in mind for the dynamic copula parameter. Thank you.