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[Internals] Switch to TaylorDiff.jl for generator derivatives. #38

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[Internals] Switch to TaylorDiff.jl for generator derivatives. #38

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3 changes: 1 addition & 2 deletions Project.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -13,7 +13,7 @@ Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
Roots = "f2b01f46-fcfa-551c-844a-d8ac1e96c665"
SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
TaylorSeries = "6aa5eb33-94cf-58f4-a9d0-e4b2c4fc25ea"
TaylorDiff = "b36ab563-344f-407b-a36a-4f200bebf99c"

[compat]
Cubature = "1.5"
Expand All @@ -24,7 +24,6 @@ MvNormalCDF = "0.2, 0.3"
Roots = "1, 2"
SpecialFunctions = "2"
StatsBase = "0.33, 0.34"
TaylorSeries = "0.12, 0.13, 0.14, 0.15"
julia = "1.6.0"

[extras]
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6 changes: 1 addition & 5 deletions src/ArchimedeanCopula.jl
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Expand Up @@ -18,11 +18,7 @@ function Distributions.cdf(C::CT,u) where {CT<:ArchimedeanCopula}
end
ϕ⁽¹⁾(C::CT, t) where {CT<:ArchimedeanCopula} = ForwardDiff.derivative(x -> ϕ(C,x), t)
function ϕ⁽ᵈ⁾(C::ArchimedeanCopula{d},t) where d
X = Taylor1(eltype(t),d)
taylor_expansion = ϕ(C,t+X)
coef = getcoeff(taylor_expansion,d) # gets the dth coef.
der = coef * factorial(d) # gets the dth derivative of $\phi$ taken in t.
return der
return TaylorDiff.derivative(x -> ϕ(C,x), t, d)
end
function Distributions._logpdf(C::CT, u) where {CT<:ArchimedeanCopula}
d = length(C)
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2 changes: 1 addition & 1 deletion src/Copulas.jl
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Expand Up @@ -14,7 +14,7 @@ end Copulas
import Roots
using Distributions
using StatsBase
using TaylorSeries
import TaylorDiff
import ForwardDiff
import Cubature
import MvNormalCDF
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