FitControlsVinecop.__init__
- FitControlsVinecop.__init__(self, family_set: collections.abc.Sequence[pyvinecopulib.families.BicopFamily] = [BicopFamily.indep, BicopFamily.gaussian, BicopFamily.student, BicopFamily.clayton, BicopFamily.gumbel, BicopFamily.frank, BicopFamily.joe, BicopFamily.bb1, BicopFamily.bb6, BicopFamily.bb7, BicopFamily.bb8, BicopFamily.tawn, BicopFamily.tll], parametric_method: str = 'mle', nonparametric_method: str = 'constant', nonparametric_mult: float = 1.0, nonparametric_grid_size: int = 30, trunc_lvl: int = 18446744073709551615, tree_criterion: str = 'tau', threshold: float = 0.0, selection_criterion: str = 'bic', weights: numpy.ndarray = array([], dtype=float64), psi0: float = 0.9, preselect_families: bool = True, select_trunc_lvl: bool = False, select_threshold: bool = False, select_families: bool = True, show_trace: bool = False, num_threads: int = 1, tree_algorithm: str = 'mst_prim', allow_rotations: bool = True, seeds: collections.abc.Sequence[int] = []) None
Instantiates custom controls for fitting vine copula models.
- Parameters:
- family_setlist of BicopFamily
The set of copula families to consider (if empty, then all families are included).
- parametric_methodstr
The fit method for parametric families; possible choices:
"mle","itau".- nonparametric_methodstr
The fit method for the local-likelihood nonparametric family (TLLs); possible choices:
"constant","linear","quadratic".- nonparametric_multfloat
A factor with which the smoothing parameters are multiplied.
- trunc_lvlint
Truncation level for truncated vines.
- tree_criterionstr
The criterion for selecting the spanning tree (
"tau","hoeffd","rho", and"mcor"implemented so far) during the tree-wise structure selection.- thresholdfloat
For thresholded vines (0 = no threshold).
- selection_criterionstr
The selection criterion (
"loglik","aic","bic","mbic", or"mbicv") for the pair copula families.- weightsndarray, shape (n,), dtype float
A vector of weights for the observations.
- psi0float
Only for
selection_criterion = "mbic", prior probability of non-independence.- preselect_familiesbool
Whether to exclude families before fitting based on symmetry properties of the data.
- select_trunc_lvlbool
Whether the truncation shall be selected automatically.
- select_thresholdbool
Whether the threshold parameter shall be selected automatically.
- select_familiesbool
Whether the families shall be selected automatically, or should the method simply update the parameters for the pair copulas already present in the model.
- show_tracebool
Whether to show a trace of the building progress.
- num_threadsint
Number of concurrent threads to use while fitting pair copulas within a tree; never uses more than the number of concurrent threads supported by the implementation.
- tree_algorithmstr
The algorithm for building the spanning tree (
"mst_prim","mst_kruskal","random_weighted", or"random_unweighted") during the tree-wise structure selection."mst_prim"and"mst_kruskal"use Prim’s and Kruskal’s algorithms respectively to select the maximum spanning tree, maximizing the sum of the edge weights (i.e.,tree_criterion)."random_weighted"and"random_unweighted"use Wilson’s algorithm to generate a random spanning tree, either with probability proportional to the product of the edge weights (weighted) or uniformly (unweighted).- allow_rotationsbool
Allow rotations for the families when doing model selection (default: true).
- seedslist of int
A vector of random seeds for the random number generator for parts of the algorithm that are randomized (e.g., random tree selection).