MATLAB绘制copula图形

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图片：


程序代码：

1. % Code to generate iso-probability contour plots of bivariate
   
2. % distributions, all with N(0,1) marginal distributions and connected via various copulas
   
3. %
   
4. %  Andrew Patton
   
5. %
   
6. %  21 august 2006
   
7. 
   
8. % Written for the following paper:
   
9. %
   
10. % Patton, A.J., 2006, Copula-Based Models for Financial Time Series.
    
11. % To be published in T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.),
    
12. % "Handbook of Financial Time Series", Springer Verlag.
    
13. %
    
14. % http://fmg.lse.ac.uk/~patton
    
15. 
    
16. 
    
17. 
    
18. T = 100;  % takes only around 15 seconds when T=100 on a single-processor 2.6GHz machine
    
19. 
    
20. % i cannot see a difference in the printed graph based on T=100 vs T=500,
    
21. % though it is a lot smaller and faster to load. so just use T=100;
    
22. 
    
23. tic;
    
24. xx = (-2:4/(T-1):2)';
    
25. uu = normcdf(xx);
    
26. 
    
27. v = (0.02:0.03:0.2);
    
28. 
    
29. % 1. Normal copula
    
30. rho = 0.5;
    
31. zz = nines(T,T);  % this the the part of the pdf from the X variable
    
32. tic;
    
33. for ii=1:T;
    
34.    zz(:,ii) = bivnormpdf(xx,xx(ii),[0,0],theta2rho(rho));
    
35. end
    
36. toc
    
37. 
    
38. figure(101);subplot(3,2,1),contour(xx,xx,zz,v,'r-'),...
    
39.     title('Normal copula, \rho = 0.5');
    
40. figure(102);subplot(3,2,1),contour(xx,xx,zz,v,'k-'),...
    
41.     title('Normal copula, \rho = 0.5');
    
42. hold on;subplot(3,2,1),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;   
    
43. 
    
44. % 2. Student's t copula
    
45. rho = 0.5;
    
46. nu = 3;
    
47. zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable
    
48. tic;
    
49. for ii=1:T;
    
50.    zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*tcopula_pdf(uu,uu(ii),rho,nu);
    
51. end
    
52. toc
    
53. figure(101);subplot(3,2,2),contour(xx,xx,zz,v,'m-'),...
    
54.     title('Student''s t copula, \rho = 0.5, \nu = 3'),...
    
55. figure(102);subplot(3,2,2),contour(xx,xx,zz,v,'k-'),...
    
56.     title('Student''s t copula, \rho = 0.5, \nu = 3'),...
    
57. hold on;subplot(3,2,2),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;   
    
58. 
    
59. % 3. Clayton copula
    
60. kappa = 1;
    
61. zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable
    
62. tic;
    
63. for ii=1:T;
    
64.    zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*clayton_pdf(uu,uu(ii),kappa);
    
65. end
    
66. toc
    
67. 
    
68. figure(101);subplot(3,2,3),contour(xx,xx,zz,v,'Color',[0 0.7 0]),...
    
69.     title('Clayton copula, \kappa = 1');
    
70. figure(102);subplot(3,2,3),contour(xx,xx,zz,v,'k-'),...
    
71.     title('Clayton copula, \kappa = 1');
    
72. hold on;subplot(3,2,3),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;   
    
73. 
    
74. 
    
75. % 4. Gumbel copula
    
76. kappa = 1.5;
    
77. zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable
    
78. tic;
    
79. for ii=1:T;
    
80.    zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*gumbel_pdf(uu,uu(ii),kappa);
    
81. end
    
82. toc
    
83. 
    
84. figure(101);subplot(3,2,4),contour(xx,xx,zz,v,'Color',[1 0.4 0]),...
    
85.     title('Gumbel copula, \kappa = 1.5');
    
86. figure(102);subplot(3,2,4),contour(xx,xx,zz,v,'k-'),...
    
87.     title('Gumbel copula, \kappa = 1.5');
    
88. hold on;subplot(3,2,4),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;   
    
89. 
    
90. 
    
91. % 5. SJC copula
    
92. tauU = 0.45;
    
93. tauL = 0.2;
    
94. zz = normpdf(xx)*ones(1,T);  % this the the part of the pdf from the X variable
    
95. tic;
    
96. for ii=1:T;
    
97.    zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*sym_jc_pdf(uu,uu(ii),tauU,tauL);
    
98. end
    
99. toc
    
100. figure(101);subplot(3,2,5),contour(xx,xx,zz,v,'Color',[0.5 0.5 0.5 ]),...
     
101.     title('SJC copula, \tau^U = 0.45, \tau^L = 0.2');
     
102. figure(102);subplot(3,2,5),contour(xx,xx,zz,v,'k-'),...
     
103.     title('SJC copula, \tau^U = 0.45, \tau^L = 0.2');
     
104. hold on;subplot(3,2,5),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;   
     
105. 
     
106. 
     
107. % 6. Mixture of normals copula
     
108. rho1 = 0.95;
     
109. rho2 = 0.05;
     
110. zz = nines(T,T);  % this the the part of the pdf from the X variable
     
111. tic;
     
112. for ii=1:T;
     
113.    zz(:,ii) = 0.5*bivnormpdf(xx,xx(ii),[0,0],theta2rho(rho1)) + 0.5*bivnormpdf(xx,xx(ii),[0,0],theta2rho(rho2));
     
114. end
     
115. toc
     
116. figure(101);subplot(3,2,6),contour(xx,xx,zz,v,'Color',[0 0 1 ]),...
     
117.     title('Mixed normal copula, \rho_1 = 0.95, \rho_2 = 0.05');
     
118. figure(102);subplot(3,2,6),contour(xx,xx,zz,v,'k-'),...
     
119.     title('Mixed normal copula, \rho_1 = 0.95, \rho_2 = 0.05');
     
120. hold on;subplot(3,2,6),plot([-2,2],[0,0],'k--',[0,0],[-2,2],'k--');hold off;   

复制代码

工具箱压缩包下载：
Patton_copula_toolbox.zip (77.87 KB)

2013-3-14 16:09:37 上传

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关键词：MATLAB Copula atlab matla opula 图形

刚复制运行了下，运行失败啊
??? Undefined function or method 'nines' for input arguments of type 'double'.

xjtuwm 发表于 2013-3-13 23:21
刚复制运行了下，运行失败啊
??? Undefined function or method 'nines' for input arguments of type 'do ...

其实这个是 patton 的 copula 工具箱里的一个程序文件；你在论坛找找可以下载不；
在网上用google也可以找到的；实在不行，我到时候上传整个文件夹的zip文件到论坛；

是啊，请楼主上传下整个文件吧

xjtuwm 发表于 2013-3-14 22:02
是啊，请楼主上传下整个文件吧

昨天已经上传了。在帖子的最后有一个压缩文件，是Patton 的copula工具箱，所有程序都在里面，包括那个绘图程序。

谢谢楼主分享copula的工具包，另外楼主能留下QQ吗？想请教您一些copula的问题

elite7502 发表于 2013-3-16 10:17
谢谢楼主分享copula的工具包，另外楼主能留下QQ吗？想请教您一些copula的问题

280201722

谢谢提供的代码，这页面上的代码源自何处？copula学习中

Patton;  Engle 的学生；

樓主您好!

跑出的程式碼有錯誤 是顯示為

Undefined function or method 'tdis_inv' for input arguments of type
'double'.

Error in ==> tcopula_pdf at 24
X1 = tdis_inv(U,NU);

Error in ==> dynamic1223 at 50
   zz(:,ii) = zz(:,ii).*normpdf(xx(ii)).*tcopula_pdf(uu,uu(ii),rho,nu);


我也已下載patton的copula工具箱 想知道問題是出在哪呢？