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massive transfer of risk-reliability book
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41.19,69.75
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55.84,65.1
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52.11,99.61
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60.76,78.1
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48.74,78.89
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36.84,44.78
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53.85,63.85
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47.37,76.99
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51.72,62.77
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49.84,71.54
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51.61,98.95
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33.78,53.95
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38.05,74.17
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43.97,71.1
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43.46,39.02
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30.86,29.39
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42.91,75.84
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32.04,29.75
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47.15,90.03
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29.77,37.78
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26.88,51.19
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39.37,88.9
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51.4,81.82
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52.07,56.78
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40.91,78.92
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20.63,44.17
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63.75,105.64
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34.59,36.73
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25.5,43.5
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42.29,43.4
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47.11,104.64
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33.28,48.33
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28.18,29.9
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27.34,35
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26.4,51.57
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28.92,40.43
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41.87,63.45
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30.56,42.55
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37.34,85.16
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52.82,89.94
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55.49,62.83
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32.32,61.52
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47.75,55.55
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30.69,49.75
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43.05,49.06
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30.26,42.61
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55.64,131.67
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44.88,66.39
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46.2,54.35
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31.2,34.22
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24.02,39.03
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70.01,78.45
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50.68,75.11
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43.49,76.57
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30.76,35.47
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24.93,35.92
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21.33,36.11
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28.43,38.68
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51.31,70.33
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62.92,101.62
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37.1,55.58
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34.81,49.12
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61.18,80.98
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26.97,32.19
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||||
52.17,104.76
|
||||
40.25,68.32
|
||||
39.24,37.5
|
||||
31.82,96.1
|
||||
40.1,58.23
|
||||
24.83,30.43
|
||||
42.63,63.51
|
||||
21.84,40.89
|
||||
33.91,36.91
|
||||
33.67,38.55
|
||||
36.15,56.27
|
||||
45.85,91.27
|
||||
43.37,56.63
|
||||
54,42.56
|
||||
46.82,72.68
|
||||
37.76,74.79
|
||||
53.95,68.17
|
||||
56.37,53.55
|
||||
30.28,72.18
|
||||
35.92,66.25
|
||||
35.7,55.77
|
||||
24.04,39.91
|
||||
33.75,75.78
|
||||
41.35,63.63
|
||||
42.28,72.45
|
||||
47.92,68.94
|
||||
23.78,55.79
|
||||
48.76,72.69
|
||||
26.49,63.07
|
||||
30.63,25.25
|
||||
34.67,61.24
|
||||
49.33,46.97
|
||||
32.12,32.3
|
||||
39.35,45.69
|
||||
32.13,40.27
|
||||
43.84,23.75
|
||||
26.17,72.78
|
||||
41.91,69.96
|
||||
27.52,31.65
|
||||
52.49,91.11
|
||||
17.69,31.38
|
||||
42.68,74.33
|
||||
54.64,22.44
|
||||
29.1,30.96
|
||||
30.45,27.5
|
||||
19.47,32.56
|
||||
32.01,79.27
|
||||
46.71,73.38
|
||||
43.06,53.24
|
||||
61.78,75.23
|
||||
19.26,39.8
|
||||
43.32,50.98
|
||||
26.14,30.1
|
||||
40.64,95.11
|
||||
26.52,62.56
|
||||
49.93,69.5
|
||||
45.81,47.44
|
||||
53.48,72.88
|
||||
38.81,70.03
|
||||
38.96,68.82
|
||||
31.68,34.57
|
||||
37.92,39.23
|
||||
26.75,30.77
|
||||
35.57,51.43
|
||||
44.06,69.52
|
||||
44.94,51.63
|
||||
35.25,43.97
|
||||
57.64,74.01
|
||||
33.46,65.76
|
||||
49.94,85.61
|
||||
39.2,54.09
|
||||
26.82,43.08
|
||||
29.99,69.9
|
||||
43.59,65.6
|
||||
46.21,83.03
|
||||
37.23,59.95
|
||||
30.58,63.39
|
||||
35.44,62.56
|
||||
28.12,47.27
|
||||
29.6,54.31
|
||||
33.14,53.35
|
||||
31.09,74.28
|
||||
40.99,76.24
|
||||
32.69,21.81
|
||||
51.29,79.77
|
||||
31.18,48.81
|
||||
48.11,44.23
|
||||
63.02,85.38
|
||||
52.77,64.15
|
||||
20.12,29.44
|
||||
23.24,35.11
|
||||
29.08,32.27
|
||||
50.41,81.01
|
||||
40.94,39.75
|
||||
26.12,30.73
|
||||
52.11,55.08
|
||||
48.68,75.82
|
||||
32.16,55.05
|
||||
29.89,29.31
|
||||
22.33,29.73
|
||||
36.33,57.04
|
||||
39.42,64.34
|
||||
32.7,56.96
|
||||
43.98,77.69
|
||||
30.55,43.29
|
||||
34.84,39.19
|
||||
37.1,67.98
|
||||
57.88,89.04
|
||||
41.82,66.48
|
||||
32.26,72.13
|
||||
35.24,38.73
|
||||
40.84,66.46
|
||||
41.87,51.17
|
||||
31.15,78.63
|
||||
43.53,56.93
|
||||
33.15,59.09
|
||||
49.44,63.45
|
||||
30.41,34.37
|
||||
31.26,45.29
|
||||
28.3,29.57
|
||||
36.27,54.64
|
||||
38.31,38.75
|
||||
26.7,49.07
|
||||
32.45,41.94
|
||||
44.46,42.84
|
||||
39.18,59.53
|
||||
38.2,43.01
|
||||
27.7,36.6
|
||||
55.28,80.56
|
||||
32.58,38.18
|
||||
44,64.73
|
||||
26.46,36.75
|
||||
26.59,39.41
|
||||
34.69,50.88
|
||||
26.07,31.79
|
||||
29.88,40.88
|
||||
48.46,60.32
|
||||
43.71,88.08
|
||||
19.74,35.82
|
||||
26.01,57.81
|
||||
45.35,46.92
|
||||
24.88,58.35
|
||||
24.98,53.66
|
||||
29.46,28.25
|
||||
41.23,46.64
|
||||
29.98,38.98
|
||||
47.94,78.34
|
||||
18.05,31.91
|
||||
33.18,71.75
|
||||
42.3,117.99
|
||||
33.24,26.44
|
||||
45.77,35.01
|
||||
23.5,56.1
|
||||
50.99,87.01
|
||||
35.19,44.6
|
||||
31.2,60.11
|
||||
32.96,21.05
|
||||
37.3,73.24
|
||||
29.97,33.53
|
||||
41.2,48.47
|
||||
27.77,33.4
|
||||
22.67,68.98
|
||||
39.4,59.88
|
||||
27.69,63.19
|
||||
36.71,44.88
|
||||
39.3,69.33
|
||||
38.8,47.42
|
||||
23.93,30.61
|
||||
39.86,66.37
|
||||
52.32,67.19
|
||||
47.21,58.78
|
||||
54.48,70.63
|
||||
48.26,41.58
|
||||
30.91,26.35
|
||||
57.36,65.78
|
||||
34.01,29.79
|
||||
23.84,62.86
|
||||
50.09,52.55
|
||||
40.18,52.62
|
||||
48.48,65.8
|
||||
36.58,66.28
|
||||
44.62,68.85
|
||||
53.3,59.64
|
||||
31.96,67.71
|
||||
29.49,67.86
|
||||
36.82,64.1
|
||||
39.39,62.85
|
||||
52.4,60.62
|
||||
30.06,41.69
|
||||
38.04,48.08
|
||||
39.47,67.08
|
||||
31.43,57.67
|
||||
38.54,64.55
|
||||
36.91,75.43
|
||||
43.29,67.44
|
||||
36.95,50.71
|
||||
30.73,68.56
|
||||
26.29,40.61
|
||||
33.82,21.36
|
||||
47.73,58.35
|
||||
33.52,74.55
|
||||
34.32,36.64
|
||||
32.61,50.68
|
||||
36.95,60.18
|
||||
41.57,67.85
|
||||
38.75,53.7
|
||||
24.52,30.59
|
||||
45.55,39.17
|
||||
30.58,43.44
|
||||
34.4,42.69
|
||||
31.54,44.71
|
||||
57.68,72.15
|
||||
27.08,43.08
|
||||
51.49,66.05
|
||||
32.95,60.37
|
||||
37.37,56.93
|
||||
53.74,60.01
|
||||
32.75,48
|
||||
32.7,46.13
|
||||
46.87,93.33
|
||||
38.19,56.12
|
||||
27.64,33.74
|
||||
28.65,54.99
|
||||
34.54,44.82
|
||||
41.75,54.66
|
||||
44.97,44.43
|
||||
30.26,32.7
|
||||
31.04,33.92
|
||||
25.92,32.85
|
||||
68.14,118.12
|
||||
34.29,83.85
|
||||
42.17,45.86
|
||||
30.37,31.27
|
||||
36.43,38.57
|
||||
31.06,41.85
|
||||
43.63,49.58
|
||||
31.06,54.71
|
||||
36.03,60.75
|
||||
41.75,84.41
|
||||
29.78,27.42
|
||||
52.73,43.1
|
||||
47.08,41.84
|
||||
29.28,66.52
|
||||
36.48,72.25
|
||||
31.26,63.31
|
||||
29.58,68.12
|
||||
22.8,47.79
|
||||
26.63,30.47
|
||||
30.04,31.21
|
||||
44.71,39.69
|
||||
31.8,29.71
|
||||
64.83,72.21
|
||||
51.54,42.06
|
||||
35.96,36.96
|
||||
51.83,84.84
|
||||
30.89,46.24
|
||||
30.95,31.46
|
||||
34.99,90.31
|
||||
54.05,60.95
|
||||
39.39,44.87
|
||||
37.02,57.81
|
||||
27.28,38.44
|
||||
32.01,46.73
|
||||
46.09,54.62
|
||||
44.01,55.64
|
||||
57.29,79.06
|
||||
23.6,40.82
|
||||
46.12,65.27
|
||||
49.32,69.87
|
||||
33.75,35.21
|
||||
27.21,40.16
|
||||
35.08,47.58
|
||||
31.23,25.62
|
||||
31.83,29.26
|
||||
49.08,75.59
|
||||
27.14,57.46
|
||||
46.21,82.42
|
||||
32.11,36.91
|
||||
54.09,27.45
|
||||
38.18,54.57
|
||||
30.84,52.69
|
||||
30.53,24.43
|
||||
40.46,60.2
|
||||
55.38,65.09
|
||||
32.98,46.05
|
||||
27.56,54.44
|
||||
39.86,38.8
|
||||
29.84,37.75
|
||||
45.77,43.3
|
||||
49.45,49.62
|
||||
50.38,53.56
|
||||
24.94,64.63
|
||||
26.88,52.1
|
||||
39.39,65.87
|
||||
19.88,34.9
|
||||
47.19,57.74
|
||||
33.35,42.74
|
||||
29.92,34.9
|
||||
43.42,47.26
|
||||
54.02,51.62
|
||||
50.72,42.01
|
||||
27.21,41.2
|
||||
28.28,30.7
|
||||
39.26,148.09
|
||||
35.04,32.04
|
||||
26.43,48.95
|
||||
47.45,64.3
|
||||
37.14,78.1
|
||||
18.87,36.66
|
||||
41.98,62.13
|
||||
24.28,30.06
|
||||
38.41,45.16
|
||||
29.77,41.39
|
||||
29.16,47.54
|
||||
31.43,72
|
||||
39.78,79.23
|
||||
27.87,34.2
|
||||
32.09,51.97
|
||||
29.95,31.06
|
||||
45.87,61.33
|
||||
42.02,69.32
|
||||
30.07,32.57
|
||||
49.27,68.26
|
||||
46.52,82.86
|
||||
48.84,81.3
|
||||
31.56,46.57
|
||||
46.08,54.03
|
||||
38.39,37.2
|
||||
41.42,77.34
|
||||
30.66,32.64
|
||||
28.34,57.08
|
||||
50.82,50.24
|
||||
51.34,28.93
|
||||
46.56,57.49
|
||||
33.64,44.84
|
||||
48.45,59.31
|
||||
67.82,117.15
|
||||
33.28,29.76
|
||||
16.58,30.23
|
||||
30.09,65.38
|
||||
51.65,57.12
|
||||
39.54,50.1
|
||||
49.74,46.08
|
||||
51.52,85.69
|
||||
23.38,34.34
|
||||
36.01,39.11
|
||||
47.9,50.9
|
||||
37.67,21.67
|
||||
29.56,30.8
|
||||
37.33,54.54
|
||||
31.85,40.8
|
||||
46.53,73.19
|
||||
32.8,52.67
|
||||
42.36,45.1
|
||||
39.85,51.13
|
||||
38.7,67.41
|
||||
34.81,69.39
|
||||
29.88,63.84
|
||||
30.53,58.86
|
||||
35.33,40.95
|
||||
44.11,56.93
|
||||
48.19,61.28
|
||||
47.01,77.67
|
||||
42.58,48.4
|
||||
54.41,88.94
|
||||
46.13,59.09
|
||||
17.67,30.85
|
||||
31.55,48.89
|
||||
37.75,43.49
|
||||
45.15,47.87
|
||||
53.79,66.8
|
||||
29.57,50.68
|
||||
34.89,52
|
||||
36.55,36.47
|
||||
58.62,110.2
|
||||
39.39,39.14
|
||||
33.61,53.24
|
||||
35.82,39.88
|
||||
27.88,34.26
|
||||
33.24,28.49
|
||||
46.78,80.49
|
||||
49.99,26.56
|
||||
40.15,45.81
|
||||
31.99,51.06
|
||||
51.4,85.48
|
||||
45.29,54.98
|
||||
34.15,76.57
|
||||
39.97,66.4
|
||||
58.5,80.01
|
||||
31,78.74
|
||||
64.17,106.28
|
||||
39.1,55.44
|
||||
39.79,37.47
|
||||
36.49,66.74
|
||||
27.27,32.21
|
||||
33.77,40.51
|
||||
24.21,68.85
|
||||
26.38,48.36
|
||||
33.78,75.07
|
||||
30.61,33.76
|
||||
28.87,71.18
|
||||
22.98,29.72
|
||||
20.93,31.2
|
||||
23.31,54.07
|
||||
39.59,75.42
|
||||
51.79,50.66
|
||||
28.58,34.73
|
||||
38.74,73.32
|
||||
55.25,83.64
|
||||
25.3,35.36
|
||||
33.99,71.85
|
||||
35.32,55.34
|
||||
24.48,59.19
|
||||
46.23,101.86
|
||||
31.72,81.32
|
||||
39.08,58.23
|
||||
39.49,88.26
|
||||
26.78,35.01
|
||||
26.73,33.79
|
||||
31.19,79.46
|
||||
51.56,56.46
|
||||
27.91,39.84
|
||||
36.08,37.96
|
||||
43.74,49.52
|
||||
23.9,77.07
|
||||
44.48,52.03
|
||||
26.34,59.22
|
||||
35.6,66.55
|
||||
32.06,39.73
|
||||
44.5,76
|
||||
40.07,65.99
|
||||
29.24,43.74
|
||||
45.05,44.53
|
||||
34.74,46.82
|
||||
40.87,76.86
|
||||
32.43,44.38
|
||||
32.03,43.4
|
||||
49.23,55.55
|
||||
44.92,58.8
|
||||
33.52,69.83
|
||||
35.71,75.7
|
||||
39.17,55.58
|
||||
32.12,65.54
|
||||
41.34,43.95
|
||||
22.74,72.82
|
||||
40.49,65.72
|
||||
30.79,63.25
|
||||
44.97,56.67
|
||||
34.59,35.89
|
||||
36.8,66.96
|
||||
29.64,61.99
|
||||
49.58,68.88
|
||||
64.49,113.28
|
||||
49.93,61.48
|
||||
23.08,56.45
|
||||
50.47,58.7
|
||||
49.97,58.01
|
||||
41.67,42.61
|
||||
44.73,74.03
|
||||
34.3,83.7
|
||||
52.41,59.94
|
||||
36.14,75.78
|
||||
70.07,70.25
|
||||
30,53.42
|
||||
41.47,43.4
|
||||
34.24,71.84
|
||||
46.46,38.58
|
||||
48.94,66.15
|
||||
59.37,62.79
|
||||
28.84,33.23
|
||||
34.33,51.11
|
||||
59.6,91.75
|
||||
24.7,85.84
|
||||
29.52,46.73
|
||||
39.29,57.91
|
||||
52.86,61.59
|
||||
40.4,71.06
|
||||
22.96,37.46
|
||||
41.42,45.78
|
||||
26.4,30.66
|
||||
19.79,40.65
|
||||
18.25,33.15
|
||||
37.28,50.53
|
||||
38.82,46.68
|
||||
31.5,53.62
|
||||
44.46,79.83
|
||||
44.62,79.11
|
||||
39.72,46.07
|
||||
42,62.93
|
||||
27.32,42.47
|
||||
43.87,70.57
|
||||
33.96,50.75
|
||||
|
200
figures/economics.ipynb
Normal file
200
figures/economics.ipynb
Normal file
File diff suppressed because one or more lines are too long
266
figures/figures-template.ipynb
Normal file
266
figures/figures-template.ipynb
Normal file
File diff suppressed because one or more lines are too long
109
figures/helper.py
Normal file
109
figures/helper.py
Normal file
|
|
@ -0,0 +1,109 @@
|
|||
import numpy as np
|
||||
import matplotlib.pyplot as plt
|
||||
import matplotlib.cm as cm
|
||||
import pyvinecopulib as cop
|
||||
|
||||
class Bivariate:
|
||||
"""Bivariate dependent distribution, design to function in the
|
||||
same way as an instance of the scipy.stats.rv_continuous class,
|
||||
specifically, with methods: cdf, pdf, rvs.
|
||||
"""
|
||||
|
||||
def __init__(self, X1, X2, rho):
|
||||
"""Constructor to initialize Bivariate object.
|
||||
|
||||
Arguments:
|
||||
---
|
||||
X1: scipy.stats.rv_continuous object. Marginal distribution
|
||||
X2: scipy.stats.rv_continuous object. Marginal distribution
|
||||
rho: float. Pearson correlation coefficient.
|
||||
"""
|
||||
self.X1 = X1
|
||||
self.X2 = X2
|
||||
self.rho = rho
|
||||
self.copula_uv = cop.Bicop(family=cop.BicopFamily.gaussian, parameters = [rho])
|
||||
|
||||
def cdf(self, x):
|
||||
"""Compute cdf with array or list as argument: [x1, x2]."""
|
||||
x1 = x[0]
|
||||
x2 = x[1]
|
||||
u = self.X1.cdf(x1)
|
||||
v = self.X2.cdf(x2)
|
||||
return self.copula_uv.cdf(np.array([[u, v]]))[0]
|
||||
|
||||
def pdf(self, x):
|
||||
"""Compute pdf with array or list as argument: [x1, x2]."""
|
||||
x1 = x[0]
|
||||
x2 = x[1]
|
||||
u = self.X1.cdf(x1)
|
||||
v = self.X2.cdf(x2)
|
||||
return self.copula_uv.pdf(np.array([[u, v]]))[0]*self.X1.pdf(x1)*self.X2.pdf(x2)
|
||||
|
||||
def rvs(self, size=1):
|
||||
"""Create random sample with keyword argument size."""
|
||||
sample = self.copula_uv.simulate(size)
|
||||
sample_X1 = self.X1.ppf(sample[:,0])
|
||||
sample_X2 = self.X2.ppf(sample[:,1])
|
||||
return np.vstack([sample_X1.T, sample_X2.T]).T
|
||||
|
||||
def plot_contour(bivar, xy_lim, data=None,
|
||||
design_case=None, design_region=None,
|
||||
nb_points=100):
|
||||
"""Contour plot of PDF in the bivariate plane (X,Y).
|
||||
|
||||
bivar: bivariate distribution, defined by
|
||||
scipy.stats.multivariate_normal.
|
||||
xy_lim: list. 1x4 list of xlim and ylim (in order) for plot limits.
|
||||
|
||||
Optional arguments:
|
||||
|
||||
data: array. A 2xN array of points.
|
||||
design_case: list. Typically a 1x2 list defining a key
|
||||
calculation point; plots as a red dot(s)
|
||||
design_region: array. A 2xN array of points that define the
|
||||
boundary of a region that will be shaded in gray between
|
||||
the boundary and the max y-axis value (ylim[1]).
|
||||
nb_points: int. Size of the grid (default: 200).
|
||||
|
||||
returns: matplotlib.pyplot Figure and Axis objects.
|
||||
"""
|
||||
|
||||
f, ax = plt.subplots(1)
|
||||
|
||||
xlim = [xy_lim[0], xy_lim[1]]
|
||||
ylim = [xy_lim[2], xy_lim[3]]
|
||||
|
||||
x = np.linspace(xlim[0], xlim[1], nb_points)
|
||||
y = np.linspace(ylim[0], ylim[1], nb_points)
|
||||
X,Y = np.meshgrid(x,y)
|
||||
pdf = np.zeros(X.shape)
|
||||
for i in range(X.shape[0]):
|
||||
for j in range(X.shape[1]):
|
||||
# if X[i,j]>0 and Y[i,j]>0:
|
||||
pdf[i,j] = bivar.pdf([X[i,j], Y[i,j]])
|
||||
|
||||
ax.contour(X, Y, pdf, levels=8, cmap=cm.Blues)
|
||||
|
||||
if isinstance(data, np.ndarray):
|
||||
ax.scatter(data[0,:], data[1,:], s=10.0,
|
||||
facecolors='none', edgecolors='darkgray',
|
||||
label='Data')
|
||||
|
||||
if isinstance(design_region, np.ndarray):
|
||||
ax.plot(design_region[0,:], design_region[1,:],
|
||||
label='Design Boundary', color='k')
|
||||
ax.fill_between(design_region[0,:], design_region[1,:],
|
||||
ylim[1], label='Design Region', color='grey')
|
||||
|
||||
if design_case:
|
||||
ax.plot(design_case[0], design_case[1], 'ro',
|
||||
label='Design Case')
|
||||
|
||||
ax.set_aspect("equal")
|
||||
ax.set_xlim(xlim)
|
||||
ax.set_ylim(ylim)
|
||||
ax.set_xlabel(r"$X_1$", fontsize=14)
|
||||
ax.set_ylabel(r"$X_2$", fontsize=14)
|
||||
if isinstance(design_region, np.ndarray) or design_case:
|
||||
ax.legend()
|
||||
return f, ax
|
||||
411
figures/risk_curve.ipynb
Normal file
411
figures/risk_curve.ipynb
Normal file
File diff suppressed because one or more lines are too long
167
figures/risk_types.ipynb
Normal file
167
figures/risk_types.ipynb
Normal file
File diff suppressed because one or more lines are too long
264
figures/solution.py
Normal file
264
figures/solution.py
Normal file
|
|
@ -0,0 +1,264 @@
|
|||
"""Set of helper functions for Week 8 part of Project 4, 2023.
|
||||
|
||||
Primary purpose is:
|
||||
1) define dictionaries to track information about bivariate
|
||||
and univariate probability models, as well as a few
|
||||
important characteristics,
|
||||
2) print and plot results,
|
||||
3) perform simple calculations (e.g., covariance, ecdf etc).
|
||||
|
||||
Organized in order used in solution notebooks.
|
||||
"""
|
||||
|
||||
import numpy as np
|
||||
import matplotlib.pyplot as plt
|
||||
import scipy.stats as st
|
||||
|
||||
from helper import plot_contour
|
||||
from helper import Bivariate
|
||||
|
||||
def univariate_RV_dict(name, symbol, unit):
|
||||
"""Create a dictionary to track a random variable."""
|
||||
d = {"name":name, "symbol":symbol, "unit":unit}
|
||||
d = create_plot_label(d)
|
||||
return d
|
||||
|
||||
def create_plot_label(univariate_dict):
|
||||
"""Combine RV name, symbol, unit into key xlabel."""
|
||||
univariate_dict["label"] = (univariate_dict["name"] + ", "
|
||||
+ univariate_dict["symbol"] + " ["
|
||||
+ univariate_dict["unit"] + "]")
|
||||
return univariate_dict
|
||||
|
||||
def univariate_model_dict(dist_type, parameters,
|
||||
distribution, empirical=False, note=None):
|
||||
"""Create a dictionary to track a distribution model.
|
||||
|
||||
dist_type: string,
|
||||
parameters: tuple, from scipy.stats rv_continuous
|
||||
distribution: frozen instance of scipy.stats.rv_continuous
|
||||
empirical: boolean. Set to True if distribution is a sample
|
||||
(array). This is just a placeholder to support other functions
|
||||
that will be used for printing results
|
||||
(e.g., compare_univar_prob).
|
||||
note: string (optional)
|
||||
"""
|
||||
model = {"type":dist_type}
|
||||
model["parameters"] = parameters
|
||||
model["distribution"] = distribution
|
||||
model["empirical"] = empirical
|
||||
model["note"] = note
|
||||
|
||||
if empirical:
|
||||
model["N"] = len(distribution)
|
||||
model["sample"] = distribution
|
||||
|
||||
return model
|
||||
|
||||
def print_dist_model_summary(RV, model_key):
|
||||
"""Prints info about a model."""
|
||||
print(f'Random variable {RV["name"]}, model \"{model_key}\" is:\n'
|
||||
f' distribution: {RV[model_key]["type"]}\n'
|
||||
f' parameters: {[f"{i:.3f}" for i in RV[model_key]["parameters"]]}\n'
|
||||
f' (μ,σ) dist: '
|
||||
f'({RV[model_key]["distribution"].mean():.3f}, '
|
||||
f'{RV[model_key]["distribution"].std():.3f})\n'
|
||||
f' (μ,σ) data: '
|
||||
f'({RV["data"].mean():.3f}, {RV["data"].std():.3f})\n')
|
||||
|
||||
def calculate_covariance(X1, X2):
|
||||
"""Covariance of X1 and X2 (numpy arrays)."""
|
||||
mean_x1 = X1.mean()
|
||||
mean_x2 = X2.mean()
|
||||
diff_x1 = X1 - mean_x1
|
||||
diff_x2 = X2 - mean_x2
|
||||
product = diff_x1 * diff_x2
|
||||
covariance = product.mean()
|
||||
return covariance
|
||||
|
||||
def pearson_correlation(X1, X2):
|
||||
"""Pearson correlation of X1 and X2 (numpy arrays)."""
|
||||
covariance = calculate_covariance(X1, X2)
|
||||
correl_coeff = covariance/(X1.std()*X2.std())
|
||||
return correl_coeff
|
||||
|
||||
def bivariate_model_dict(model_name,
|
||||
X1_key, X1, X2_key, X2, rho):
|
||||
"""Create dictionary to track the bivariate model.
|
||||
|
||||
model_name: string. Arg is root name, which has
|
||||
marginal info added; used for plot title.
|
||||
X1, X2: dict.from univariate_RV_dict()
|
||||
X1_key, X2_key: string. Name of model of X1, X2
|
||||
rho: correlation coefficient
|
||||
|
||||
returns: dictionary
|
||||
"""
|
||||
|
||||
d = {"X1_key":X1_key, "X1":X1[X1_key],
|
||||
"X2_key":X2_key, "X2":X2[X2_key],
|
||||
"rho":rho}
|
||||
|
||||
d["title"] = (model_name + ": "
|
||||
+ r"$X_1 \sim$" + X1_key + ", "
|
||||
+ r"$X_2 \sim$" + X2_key + ", "
|
||||
+ r"$\rho$ = " + f"{rho:.2f}")
|
||||
|
||||
d["xlabel"], d["ylabel"] = X1["label"], X2["label"]
|
||||
d["X1X2"] = Bivariate(d["X1"]["distribution"],
|
||||
d["X2"]["distribution"],
|
||||
d["rho"])
|
||||
d["data"] = np.array([X1["data"], X2["data"]])
|
||||
d["data_X1"], d["data_X2"] = X1["data"], X2["data"]
|
||||
|
||||
return d
|
||||
|
||||
def compare_bivar_prob(point, model):
|
||||
"""Compare probabilities at a given point (bivariate).
|
||||
|
||||
point: array or list; size = 2.
|
||||
model: dictionary defining bivariate distribution.
|
||||
|
||||
returns: none, except printed output.
|
||||
"""
|
||||
|
||||
data_X1 = model["data_X1"]
|
||||
data_X2 = model["data_X2"]
|
||||
N = data_X1.size
|
||||
|
||||
left_emp = sum(data_X1 < point[0])/N
|
||||
bottom_emp = sum(data_X2 < point[1])/N
|
||||
lower_left_emp = sum((data_X1 < point[0])*(data_X2 < point[1]))/N
|
||||
|
||||
union_emp = 1 - lower_left_emp
|
||||
intersection_emp = 1 - (left_emp + bottom_emp - lower_left_emp)
|
||||
|
||||
lower_left = model["X1X2"].cdf(point)
|
||||
union = 1 - lower_left
|
||||
|
||||
left = model["X1"]["distribution"].cdf(point[0])
|
||||
bottom = model["X2"]["distribution"].cdf(point[1])
|
||||
intersection = 1 - (left + bottom - lower_left)
|
||||
|
||||
print(f'-------------------------------------------------')
|
||||
print(f' Comparison, Empirical Values in ( )')
|
||||
print(f'-------------------------------------------------')
|
||||
print(f'Lower left, P[X1<x1, X2<x2] = {lower_left:.5f}',
|
||||
f'({lower_left_emp:.5f})')
|
||||
print(f'Left side, P[X1<x1] = {left:.5f}',
|
||||
f'({left_emp:.5f})')
|
||||
print(f'Bottom half, P[X2<x2] = {bottom:.5f}',
|
||||
f'({bottom_emp:.5f})')
|
||||
print(f'-------------------------------------------------')
|
||||
print(f'Case 1: P[X1>x1 or X2>x2] = {union:.5f}',
|
||||
f'({union_emp:.5f})')
|
||||
print(f'Case 2: P[X1>x1 and X2>x2] = {intersection:.5f}',
|
||||
f'({intersection_emp:.5f})')
|
||||
print(f'-------------------------------------------------')
|
||||
|
||||
def compare_univar_prob(point, model, dist_key):
|
||||
"""Compare probabilities at a given point (univariate).
|
||||
|
||||
point: float
|
||||
model: dictionary defining univariate distribution
|
||||
dist_key: specify which distribution model to use
|
||||
|
||||
returns: none, except printed output.
|
||||
"""
|
||||
|
||||
data = model["data"]
|
||||
N = data.size
|
||||
p_data = sum(data < point)/N
|
||||
if model[dist_key]["empirical"]:
|
||||
N_model = model[dist_key]["N"]
|
||||
n_eval = sum(model[dist_key]["sample"]<point)
|
||||
p_model = n_eval/N_model
|
||||
else:
|
||||
X = model[dist_key]["distribution"]
|
||||
p_model = X.cdf(point)
|
||||
|
||||
print(f'---------------------------------------')
|
||||
print(f' Results for {model["name"]}, case {dist_key}')
|
||||
print(f' Comparison, Empirical Values in ( )')
|
||||
print(f'---------------------------------------')
|
||||
print(f'P[X<x] = {p_model:.5f} ({p_data:.5f})')
|
||||
print(f'P[X>x] = {1 - p_model:.5f} ({1 - p_data:.5f})')
|
||||
print(f'There are {N} points in the data set.')
|
||||
if model[dist_key]["empirical"]:
|
||||
print(f'This distribution is from MCS:')
|
||||
print(f' number of smaples = {N_model}')
|
||||
print(f'---------------------------------------')
|
||||
|
||||
def ecdf(var):
|
||||
"""Empirical cdf from list or array. Returns [F(x), x]."""
|
||||
x = np.sort(var)
|
||||
n = x.size
|
||||
y = np.arange(1, n+1) / (n + 1)
|
||||
return [y, x]
|
||||
|
||||
def ecdf_inverse(p, data, exceedance=False):
|
||||
"""Compute x = F^-1(p) for an empirical distribution."""
|
||||
N = len(data)
|
||||
if exceedance:
|
||||
p = 1 - p
|
||||
index = int(np.floor(p*(N + 1)))
|
||||
x = np.sort(data)[index - 1]
|
||||
return x
|
||||
|
||||
def semi_log_plots(dist_1, dist_2, exceedance=True):
|
||||
"""Helper function for plot_univariate_comparison.
|
||||
|
||||
dist_1, dist_2: ndarray, list. Empirical distributions.
|
||||
exceedance: bool. Default (True) plots exceedance, 1 - F(x)
|
||||
|
||||
returns: matplotlib objects fig, ax
|
||||
"""
|
||||
fig, ax = plt.subplots(1, 1, figsize=(8, 5))
|
||||
|
||||
e_dist_1 = ecdf(dist_1)
|
||||
e_dist_2 = ecdf(dist_2)
|
||||
if exceedance:
|
||||
e_dist_1[0] = 1 - e_dist_1[0]
|
||||
e_dist_2[0] = 1 - e_dist_2[0]
|
||||
|
||||
ax.step(e_dist_1[1], e_dist_1[0],
|
||||
color='k', label='Data')
|
||||
ax.step(e_dist_2[1], e_dist_2[0],
|
||||
color='r', label='MCS Sample')
|
||||
ax.set_xlabel('$Z(X_1,X_2)$')
|
||||
ax.set_yscale('log')
|
||||
ax.legend()
|
||||
ax.grid()
|
||||
return fig, ax
|
||||
|
||||
def plot_univariate_comparison(rv_dictionary, dist_key, plot_values):
|
||||
"""Compare univariate plots.
|
||||
|
||||
Assumes model is an empirical distribution (MCS
|
||||
|
||||
rv_dictionary: dict. Created from univariate_RV_dict()
|
||||
dist_key: str. Name of probability model
|
||||
plot_values: array, list (size 4). Limits of X and Y, respectively.
|
||||
returns: none, except printed output.
|
||||
"""
|
||||
|
||||
data = rv_dictionary["data"]
|
||||
model = rv_dictionary[dist_key]["sample"]
|
||||
|
||||
fig, ax = plt.subplots(1)
|
||||
ax.hist([data, model],
|
||||
bins=plot_values,
|
||||
density=True,
|
||||
edgecolor='black');
|
||||
ax.legend(['Data', 'MCS Sample'])
|
||||
ax.set_xlabel('$Z(X_1,X_2)$')
|
||||
ax.set_ylabel('Empirical Density [--]')
|
||||
ax.set_title('Comparison of Distributions of $Z$');
|
||||
|
||||
fig, ax = semi_log_plots(data, model, exceedance=False)
|
||||
ax.set_ylabel('CDF, $\mathrm{P}[Z < z]$')
|
||||
ax.set_title('Comparison: CDF (log scale expands lower tail)')
|
||||
|
||||
fig, ax = semi_log_plots(data, model, exceedance=True)
|
||||
ax.set_ylabel('CDF, $\mathrm{P}[Z < z]$')
|
||||
ax.set_title('Comparison: CDF (log scale expands lower tail)')
|
||||
534
figures/template_blank.svg
Normal file
534
figures/template_blank.svg
Normal file
|
|
@ -0,0 +1,534 @@
|
|||
<?xml version="1.0" encoding="utf-8" standalone="no"?>
|
||||
<!DOCTYPE svg PUBLIC "-//W3C//DTD SVG 1.1//EN"
|
||||
"http://www.w3.org/Graphics/SVG/1.1/DTD/svg11.dtd">
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||||
<svg xmlns:xlink="http://www.w3.org/1999/xlink" width="576pt" height="432pt" viewBox="0 0 576 432" xmlns="http://www.w3.org/2000/svg" version="1.1">
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||||
<metadata>
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||||
<rdf:RDF xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:cc="http://creativecommons.org/ns#" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#">
|
||||
<cc:Work>
|
||||
<dc:type rdf:resource="http://purl.org/dc/dcmitype/StillImage"/>
|
||||
<dc:date>2024-02-18T07:45:46.054013</dc:date>
|
||||
<dc:format>image/svg+xml</dc:format>
|
||||
<dc:creator>
|
||||
<cc:Agent>
|
||||
<dc:title>Matplotlib v3.8.2, https://matplotlib.org/</dc:title>
|
||||
</cc:Agent>
|
||||
</dc:creator>
|
||||
</cc:Work>
|
||||
</rdf:RDF>
|
||||
</metadata>
|
||||
<defs>
|
||||
<style type="text/css">*{stroke-linejoin: round; stroke-linecap: butt}</style>
|
||||
</defs>
|
||||
<g id="figure_1">
|
||||
<g id="patch_1">
|
||||
<path d="M 0 432
|
||||
L 576 432
|
||||
L 576 0
|
||||
L 0 0
|
||||
z
|
||||
" style="fill: #ffffff"/>
|
||||
</g>
|
||||
<g id="axes_1">
|
||||
<g id="patch_2">
|
||||
<path d="M 72 384.48
|
||||
L 518.4 384.48
|
||||
L 518.4 51.84
|
||||
L 72 51.84
|
||||
z
|
||||
" style="fill: #ffffff"/>
|
||||
</g>
|
||||
<g id="matplotlib.axis_1">
|
||||
<g id="text_1">
|
||||
<!-- xlabel [$x-units$] -->
|
||||
<g transform="translate(233.36 400.64) scale(0.16 -0.16)">
|
||||
<defs>
|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
z
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<use xlink:href="#ArialMT-74" x="500.195312"/>
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<use xlink:href="#ArialMT-6c" x="527.978516"/>
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</g>
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</g>
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</svg>
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|
After Width: | Height: | Size: 13 KiB |
1191
figures/template_cdf.svg
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1191
figures/template_cdf.svg
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After Width: | Height: | Size: 30 KiB |
1119
figures/template_exp_decay.svg
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1119
figures/template_exp_decay.svg
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After Width: | Height: | Size: 26 KiB |
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