pyscenarios: Python Scenario Generator¶
This package offers several modules used in Monte Carlo simulations:
- copula
Gaussian Copula, Student T* Copula and IT Copula samples generators
- sobol
Joe/Kuo Sobol series generator
- stats
Tail dependence measures
All modules fully support and are optimized for dask and are compatible with dask distributed.
Index¶
Installation¶
What’s New¶
v0.2.0 (2019-04-29)¶
Type annotations
‘rng’ parameter in copula functions is now case insensitive
Work around regression in IT copula with dask >= 1.1 (dask#4739)
Smaller binary package; simplified setup
Explicit CI tests for Windows, Python 3.5.0, and Python 3.7
Mandatory flake8 and mypy in CI
Changed license to Apache 2.0
v0.1.0 (2018-05-27)¶
Initial release.
copula¶
sobol¶
stats¶
Statistical functions
-
pyscenarios.stats.tail_dependence(x: Any, y: Any, q: Any) → Union[numpy.ndarray, dask.array.core.Array]¶ Calculate tail dependence between vectors x and y.
- Parameters
x – 1D array-like or dask array containing samples from a uniform (0, 1) distribution.
y – other array to compare against
q – quantile(s) (0 < q < 1). Either a scalar or a ND array-like or dask array.
- Returns
array of the same shape and type as q, containing:
\[\cases{ P(y < q | x < q) | q < 0.5 \cr P(y \geq q | x \geq q) | q \geq 0.5 }\]
License¶
pyscenarios is available under the open source Apache License.