AnderGray/ProbabilityBoundsAnalysis.jl: Imprecise Copulas

Probability Bounds Analysis in Julia, package for performing arithmetic between uncertain numbers. Computes guaranteed bounds on functions of random variables, given only partial information about their marginals and dependence. Considered to be a form of rigorous computing with random variables.

In this release, copulas have been formatted the same way as p-boxes, as a 2 dimensional descritised grid. Step interpolation used to return an interval for a queried cdf value. This also allows for copulas to be imprecisely defined, in terms of an upper and lower cdf. Bivariate p-boxes may be defined in terms of an imprecise copula and two p-boxes. Convolutions have been rewritten for this new copula format.