TwinCopulas

TwinCopulas is a Julia package for probability distributions and associated functions, focusing on the implementation of copulas. This package includes:

• Probability density/mass functions (pdf).
• Sampling from a population or from a distribution.

Installation

You can install TwinCopulas using Julia's package manager:

using Pkg
Pkg.add("TwinCopulas")

Usage

Here is a basic example of how to use TwinCopulas:

Julia> using TwinCopulas
Julia> G = GaussianCopula(0.8)

Roadmap

Upcoming Features and Improvements

1. Revised Calculation of Dependency Measures:

   • Enhance the accuracy and efficiency of dependency measure calculations.

2. Additional Copulas:

   • Implement more copulas, potentially including dynamic copulas to capture time-varying dependencies.

3. Copula Fitting (Parameter Estimation):

   • Develop robust methods for parameter estimation of copulas to better fit data.

4. Model Selection:

   • Introduce model selection techniques to choose the best copula model for given data.

5. Graphical Representations:

   • Add functions to create informative plots and visualizations of copulas and their properties.

Contributing

Contributions are welcome! Please open an issue if you have any questions, feature requests, or bug reports. Feel free to submit pull requests to improve the package.

License

This project is licensed under the MIT License.

Acknowledgements

We would like to thank all contributors and the Julia community for their support and contributions.