[Bug] Force elliptical cdf to behave by clamping them (#197)

* Try to clamp the cdf's Fixes #196 * last clamping
lrnv · Apr 20, 2024 · 382214c · 382214c
1 parent 36f18b2
commit 382214c
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diff --git a/src/EllipticalCopula.jl b/src/EllipticalCopula.jl
@@ -49,15 +49,15 @@ abstract type EllipticalCopula{d,MT} <: Copula{d} end
 Base.eltype(C::CT) where CT<:EllipticalCopula = Base.eltype(N(CT)(C.Σ))
 function Distributions._rand!(rng::Distributions.AbstractRNG, C::CT, x::AbstractVector{T}) where {T<:Real, CT <: EllipticalCopula}
     Random.rand!(rng,N(CT)(C.Σ),x)
-    x .= Distributions.cdf.(U(CT),x)
+    x .= clamp.(Distributions.cdf.(U(CT),x),0,1)
     return x
 end
 function Distributions._rand!(rng::Distributions.AbstractRNG, C::CT, A::DenseMatrix{T}) where {T<:Real, CT<:EllipticalCopula}
     # More efficient version that precomputes stuff:
     n = N(CT)(C.Σ)
     u = U(CT)
     Random.rand!(rng,n,A)
-    A .= Distributions.cdf.(u,A)
+    A .= clamp.(Distributions.cdf.(u,A),0,1)
     return A
 end
 function Distributions._logpdf(C::CT, u) where {CT <: EllipticalCopula}

diff --git a/src/SklarDist.jl b/src/SklarDist.jl
@@ -59,7 +59,7 @@ function Distributions._rand!(rng::Distributions.AbstractRNG, S::SklarDist{CT,Tp
      x .= Distributions.quantile.(S.m,x)
 end
 function Distributions._logpdf(S::SklarDist{CT,TplMargins},u) where {CT,TplMargins}
-    sum(Distributions.logpdf(S.m[i],u[i]) for i in 1:length(u)) + Distributions.logpdf(S.C,Distributions.cdf.(S.m,u))
+    sum(Distributions.logpdf(S.m[i],u[i]) for i in 1:length(u)) + Distributions.logpdf(S.C,clamp.(Distributions.cdf.(S.m,u),0,1))
 end