After more than four years of developpement, Copulas.jl has reached version 1.0 ! I wanted to come back to the developpement journey, talk a bit about the functionalities but most importantly about why: why tag the 1.
This post highlights two recent Julia projects:
VineCopulas.jl, developed by Santiago Jimenez; KaimonSlate.jl, developed by Kahli Burke. Kahli used KaimonSlate to produce the video and PDF below about VineCopulas.
Motivation In many probabilistic and statistical models, the (regularized) incomplete beta function shows up in places where you do not expect it at first glance: CDFs of Beta and Student distributions, tail probabilities of binomial models, Bayesian posteriors, or parameterizations of the Student copula.
Background The estimation of Archimedean copulas has been bothering me for quite some time. My first shot at research, back when I was still a master’s student, was a project with a few friends using these models in a Solvency II and reinsurance pricing problem.
Part 1: About the Gumbel-Barnett generator and its derivatives. In this article, I discuss an interesting problem encountered while working on Copulas.jl, a Julia package for copula routines that I have developed and continue to maintain.
A few months ago, I was proposed the opportunity to give a talk at ISBA’s Young researcher’s day 2023 (UcLouvain, Louvain-la-neuve, BE) about version control. I already wrote a bit on git and GitHub for latex writing and even more automation.
Announce I am proud to annonce the publication and the registration of my new Julia package, Copulas.jl.
As it’s name suggests, Copulas.jl is a package that implements methods and tools to work with an arround copulas in the Julia programming language.
The problematic A latex-written resume is always a nice thing to have: easy to update, practical to integrate .bib bibliographies, and automatic management of the look (you only provide its content).
The problematic As an academic, I spend my life writing papers. Since these papers are mostly about math or some applications of math, I am an extensive user of latex.
The cort package is now on cran ! The cort package provides S4 classes and methods to fit several copula models:
The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) https://arxiv.