A Python Package for Sampling from Copulae: clayton

TL;DR

The paper introduces 'clayton', a Python package that simplifies sampling from various copula models, offering an efficient, user-friendly tool for researchers and practitioners in statistical modeling.

Contribution

It provides a comprehensive, pure Python implementation of copula sampling, including multiple models, with performance advantages over existing R packages.

Findings

Efficient sampling performance demonstrated against R packages

Supports diverse copula models including Archimedean, Elliptical, Extreme

User-friendly with detailed documentation and examples

Abstract

The package \textsf{clayton} is designed to be intuitive, user-friendly, and efficient. It offers a wide range of copula models, including Archimedean, Elliptical, and Extreme. The package is implemented in pure \textsf{Python}, making it easy to install and use. In addition, we provide detailed documentation and examples to help users get started quickly. We also conduct a performance comparison with existing \textsf{R} packages, demonstrating the efficiency of our implementation. The \textsf{clayton} package is a valuable tool for researchers and practitioners working with copulas in \textsf{Python}.