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came across three similar named python packages for parametric copula estimation:

  • copula package
  • copulae package
  • pycopula package

have I missed any?

Which of the above are most popular, accurate, (maybe regularly updated), and contains multivariate Archimedean copula like Clayton and Gumbel? and doesn't have incompatabilities with python 3.5+

develarist
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1 Answers1

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have I missed any?

You actually have!

Please check https://github.com/sdv-dev/Copulas

This library has been and is actively being developed at the DAI-Lab, a research group in LIDS, MIT, and is part of The Synthetic Data Vault project, an ecosystem of Synthetic Data Generation libraries for multiple data modalities.

I cannot say that it is the "best one" (I'm actually a maintainer), but the numbers say it is the most popular (number of github stars and monthly downloads). It implements a multitude of univariate and multivariate copulas, including the three major Archimedean Copulas (Clayton, Frank and Gumbel) and Vines, and it has an extensive suite of numerical and unit tests.

So it possibly is what you are looking for!

desertnaut
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Carles Sala
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