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The partial derivative here should implement F(v|u) as per docstring and consistency with the other copulas, but the implementation is F(u|v).
More explicitly, the first term should be based on U (i.e. np.power(U, –self.theta – 1)) rather than V
Note that this impacts your vine copulas as they use the partial_derivative.
The text was updated successfully, but these errors were encountered:
HugoDelatte
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Jan 11, 2025
Hello,
The partial derivative here should implement F(v|u) as per docstring and consistency with the other copulas, but the implementation is F(u|v).
More explicitly, the first term should be based on U (i.e.
np.power(U, –self.theta – 1)
) rather than VNote that this impacts your vine copulas as they use the partial_derivative.
The text was updated successfully, but these errors were encountered: