Python的icevask分布函数
py-vsk的Python项目详细描述
简介
在统计学的背景下，Vasicek分布是一个连续分布，它控制0和1之间的开放区间，具有两个参数，即Rho和p，这与Beta和Kumaraswamy分布相似。在
在经济资本模型的建立过程中，经常使用Vasicek分布来描述投资组合的信用损失。py_vsk包是与Vasicek发行版相关的各种python函数的集合，目的是使风险建模者的工作更轻松。在
核心功能
py_vsk
|-- vsk_mle() : Estimates Vasicek parameters by using MLE.
|-- vsk_imm() : Estimates Vasicek parameters by using indirect moment matching.
|-- vsk_dmm() : Estimates Vasicek parameters by using direct moment matching.
|-- vsk_qbe() : Estimates Vasicek parameters by using quantile-based estimator.
|-- vsk_Rho() : Estimates the Rho parameter by assuming P known and varying.
|-- vsk_pdf() : Calculates the probability density function of Vasicek.
|-- vsk_cdf() : Calculates the probability cumulative function of Vasicek.
|-- vsk_ppf() : Calculates the percentile point function (CDF inverse) of Vasicek.
|-- vsk_rvs() : Generates random numbers following the Vasicek distribution.
|-- get_Rho() : Solves for the Rho parameter such that vsk_cdf(x, Rho, P) = Alpha.
|-- gof_ks() : Performs the Kolmogorov-Smirnov GoF test for the Vasicek distribution.
`-- gof_chisq() : Performs the Chi-Square GoF test for the Vasicek distribution.
参考
py_vsk
|-- vsk_mle() : Estimates Vasicek parameters by using MLE.
|-- vsk_imm() : Estimates Vasicek parameters by using indirect moment matching.
|-- vsk_dmm() : Estimates Vasicek parameters by using direct moment matching.
|-- vsk_qbe() : Estimates Vasicek parameters by using quantile-based estimator.
|-- vsk_Rho() : Estimates the Rho parameter by assuming P known and varying.
|-- vsk_pdf() : Calculates the probability density function of Vasicek.
|-- vsk_cdf() : Calculates the probability cumulative function of Vasicek.
|-- vsk_ppf() : Calculates the percentile point function (CDF inverse) of Vasicek.
|-- vsk_rvs() : Generates random numbers following the Vasicek distribution.
|-- get_Rho() : Solves for the Rho parameter such that vsk_cdf(x, Rho, P) = Alpha.
|-- gof_ks() : Performs the Kolmogorov-Smirnov GoF test for the Vasicek distribution.
`-- gof_chisq() : Performs the Chi-Square GoF test for the Vasicek distribution.
塔什，德克。（2008年）。瓦西克分布。在
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