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Migrate from Cubature.jl to HCubature.jl (#236)
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@DilumAluthge
DilumAluthge authored Nov 14, 2024
1 parent 684fea9 commit ff7585c
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6 changes: 3 additions & 3 deletions Project.toml
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Original file line number Diff line number Diff line change
@@ -1,13 +1,13 @@
name = "Copulas"
uuid = "ae264745-0b69-425e-9d9d-cf662c5eec93"
authors = ["Oskar Laverny"]
version = "0.1.25"
version = "0.1.26"

[deps]
Combinatorics = "861a8166-3701-5b0c-9a16-15d98fcdc6aa"
Cubature = "667455a9-e2ce-5579-9412-b964f529a492"
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
HCubature = "19dc6840-f33b-545b-b366-655c7e3ffd49"
InteractiveUtils = "b77e0a4c-d291-57a0-90e8-8db25a27a240"
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
LogExpFunctions = "2ab3a3ac-af41-5b50-aa03-7779005ae688"
Expand All @@ -25,9 +25,9 @@ WilliamsonTransforms = "48feb556-9bdd-43a2-8e10-96100ec25e22"
[compat]
Aqua = "v0.8"
Combinatorics = "1"
Cubature = "1.5"
Distributions = "0.25"
ForwardDiff = "0.10"
HCubature = "1"
HypothesisTests = "v0.11"
InteractiveUtils = "1.6"
LinearAlgebra = "1.6"
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16 changes: 8 additions & 8 deletions src/Copula.jl
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Original file line number Diff line number Diff line change
@@ -1,14 +1,14 @@
abstract type Copula{d} <: Distributions.ContinuousMultivariateDistribution end
Base.length(::Copula{d}) where d = d

# The potential functions to code:
# The potential functions to code:
# Distributions._logpdf
# Distributions.cdf
# Distributions.fit(::Type{CT},u) where CT<:Mycopula
# Distributions._rand!
# Base.eltype
# τ, τ⁻¹
# Base.eltype
# Base.eltype
function Distributions.cdf(C::Copula{d},u::VT) where {d,VT<:AbstractVector}
length(u) != d && throw(ArgumentError("Dimension mismatch between copula and input vector"))
if any(iszero,u)
Expand All @@ -25,13 +25,13 @@ end
function _cdf(C::CT,u) where {CT<:Copula}
f(x) = Distributions.pdf(C,x)
z = zeros(eltype(u),length(C))
return Cubature.hcubature(f,z,u,reltol=sqrt(eps()))[1]
return HCubature.hcubature(f,z,u,rtol=sqrt(eps()))[1]
end
function ρ(C::Copula{d}) where d
F(x) = Distributions.cdf(C,x)
z = zeros(d)
i = ones(d)
r = Cubature.hcubature(F,z,i,reltol=sqrt(eps()))[1]
r = HCubature.hcubature(F,z,i,rtol=sqrt(eps()))[1]
return 12*r-3
end
function τ(C::Copula)
Expand All @@ -40,7 +40,7 @@ function τ(C::Copula)
return 4*r-1
end
function StatsBase.corkendall(C::Copula{d}) where d
# returns the matrix of bivariate kendall taus.
# returns the matrix of bivariate kendall taus.
K = ones(d,d)
for i in 1:d
for j in i+1:d
Expand All @@ -51,7 +51,7 @@ function StatsBase.corkendall(C::Copula{d}) where d
return K
end
function StatsBase.corspearman(C::Copula{d}) where d
# returns the matrix of bivariate spearman rhos.
# returns the matrix of bivariate spearman rhos.
K = ones(d,d)
for i in 1:d
for j in i+1:d
Expand All @@ -71,11 +71,11 @@ function measure(C::CT, u,v) where {CT<:Copula}
# We use a gray code according to the proposal at https://discourse.julialang.org/t/looping-through-binary-numbers/90597/6

eval_pt = copy(u)
d = length(C) # is known at compile time
d = length(C) # is known at compile time
r = zero(eltype(u))
graycode = 0 # use a gray code to flip one element at a time
which = fill(false, d) # false/true to use u/v for each component (so false here)
r += Distributions.cdf(C,eval_pt) # the sign is always 0.
r += Distributions.cdf(C,eval_pt) # the sign is always 0.
for s = 1:(1<<d)-1
graycode′ = s ⊻ (s >> 1)
graycomp = trailing_zeros(graycode ⊻ graycode′) + 1
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24 changes: 12 additions & 12 deletions src/Copulas.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -10,22 +10,22 @@ module Copulas
import StatsFuns
import TaylorSeries
import ForwardDiff
import Cubature
import HCubature
import MvNormalCDF
import WilliamsonTransforms
import Combinatorics
import LogExpFunctions
import QuadGK
import LinearAlgebra

# Standard copulas and stuff.
# Standard copulas and stuff.
include("utils.jl")
include("Copula.jl")
include("SklarDist.jl")
export pseudos,
SklarDist

# Others.
# Others.
include("MiscellaneousCopulas/SurvivalCopula.jl")
include("MiscellaneousCopulas/PlackettCopula.jl")
include("MiscellaneousCopulas/EmpiricalCopula.jl")
Expand All @@ -41,10 +41,10 @@ module Copulas
include("EllipticalCopula.jl")
include("EllipticalCopulas/GaussianCopula.jl")
include("EllipticalCopulas/TCopula.jl")
export GaussianCopula,
export GaussianCopula,
TCopula

# These three distributions might be merged in Distrbutions.jl one day.
# These three distributions might be merged in Distrbutions.jl one day.
include("UnivariateDistribution/Sibuya.jl")
include("UnivariateDistribution/Logarithmic.jl")
include("UnivariateDistribution/AlphaStable.jl")
Expand All @@ -67,7 +67,7 @@ module Copulas
include("Generator/UnivariateGenerator/GumbelGenerator.jl")
include("Generator/UnivariateGenerator/InvGaussianGenerator.jl")
include("Generator/UnivariateGenerator/JoeGenerator.jl")

# Archimedean copulas
include("ArchimedeanCopula.jl")
include("BivariateArchimedeanMethods.jl")
Expand All @@ -94,9 +94,9 @@ module Copulas
include("ExtremeValueCopulas/HuslerReissCopula.jl")
include("ExtremeValueCopulas/LogCopula.jl")
include("ExtremeValueCopulas/MixedCopula.jl")
include("ExtremeValueCopulas/MOCopula.jl")
include("ExtremeValueCopulas/MOCopula.jl")
include("ExtremeValueCopulas/tEVCopula.jl")

export AsymGalambosCopula,
AsymLogCopula,
AsymMixedCopula,
Expand All @@ -106,12 +106,12 @@ module Copulas
HuslerReissCopula,
LogCopula,
MixedCopula,
MOCopula,
MOCopula,
tEVCopula


# Subsetting
include("SubsetCopula.jl") # not exported yet.
include("SubsetCopula.jl") # not exported yet.

using PrecompileTools
@setup_workload begin
Expand Down Expand Up @@ -143,8 +143,8 @@ module Copulas
# WCopula(2), ################ <<<<<<<<<-------------- Does not work and I cannot explain why !
# RafteryCopula(2, 0.2), ################ <<<<<<<<<<------------- BUGGY
# RafteryCopula(3, 0.5), ################ <<<<<<<<<<------------- BUGGY
# We should probably add others to speed up again.
)
# We should probably add others to speed up again.
)
u1 = rand(C)
u = rand(C,2)
if applicable(Distributions.pdf,C,u1) && !(typeof(C)<:EmpiricalCopula)
Expand Down

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@lrnv lrnv commented on ff7585c Nov 14, 2024

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Registration pull request created: JuliaRegistries/General/119378

Tip: Release Notes

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Release notes:

## Breaking changes

- blah

To add them here just re-invoke and the PR will be updated.

Tagging

After the above pull request is merged, it is recommended that a tag is created on this repository for the registered package version.

This will be done automatically if the Julia TagBot GitHub Action is installed, or can be done manually through the github interface, or via:

git tag -a v0.1.26 -m "<description of version>" ff7585c62774eec56bb42e835cc5ee4647330b9a
git push origin v0.1.26

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