Comments (5)
I realized that if you use a parameter greater than or equal to 38 the samples start to come out infinite.
from copulas.jl.
There are overflow happening, this is a pitty. You may obtain the right answer by use bigfloats :
julia> BF = FrankCopula(2,big(100.0))
FrankCopula{2, BigFloat}(θ=100.0)
julia> rand(BF)
2-element Vector{Float64}:
0.9345996751765854
0.9568914260322661
However, it looks like it might be possible to achieve the same kind of results with Float64 by leveraging the LogExpFunctions.logm1exp()
function if we take enough care, I tried a few things in #65 without much success for the moment, but I do not give up. You may take a look if you want :)
from copulas.jl.
Another option (the one chosen by the R package) is to just give up and furnish MCopula
samples instead for theta > 38 ( they also have a hardcoded 38 there, you did find the right value). But I am not sure I am willing to do that without at least a warning..
from copulas.jl.
I am working with dynamic copulas, that is, the parameter can change over time and in the simulations it gives some parameters a little greater than 30, I think that for now I will use the BigFloat option, it is strange that for very small negative values, for example -120 he gives samples without problems
from copulas.jl.
Did you took a look at those samples ? They might not be very good ones. In #65 I am actually adding a test on uniformity of marginals to check for these kind of stuff more seriously in the future.
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Related Issues (20)
- [Docs] Clarify the fitting example
- “SUite” -> “Suite” HOT 1
- [Docs] Typo HOT 1
- [Docs] Typo HOT 1
- [Docs] Typo HOT 1
- [New feature] Conditionning HOT 5
- [New feature] Rosenblatt (and inverse) transformations HOT 3
- [New feature] Plotting / Vizualization HOT 2
- [Docs] Reorganize the docs
- [After Paper] Update citations guidelines
- Something wrong with this reference? HOT 3
- Can you recognize this one? HOT 1
- [New feature] Faster sampling for small-dimensional cops
- [Docs] up documenter
- Σ field from ArchimedeanCopula removed in patch release HOT 18
- [bug] Change from Id check to diagonal check
- [Docs] Clarify what is API and what is internals seriously
- [bug] Dont always sample Float64's
- Numerically instable Gaussian cdf's - Copulas + Turing
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