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Add an example with Gaussian copulas #236

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rlouf opened this issue Feb 19, 2023 · 0 comments
Open

Add an example with Gaussian copulas #236

rlouf opened this issue Feb 19, 2023 · 0 comments
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documentation Improvements or additions to documentation enhancement New feature or request help wanted Extra attention is needed

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@rlouf
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rlouf commented Feb 19, 2023

It is fairly simple to generate samples from a multivariate distributions with arbitrary marginals using Gaussian copulas:

  1. Generate a vector of samples from a multivariate normal distribution;
  2. Apply the cdf of the standard normal distribution to each element of these vectors;
  3. Apply the inverse cdf of the marginal distributions to the corresponding elements.

Yet some PPLs wrap the whole process in custom distributions (Numpyro, TFP). I thus suggest we illustrate Aesara/AePPL's modeling capabilities on a copula example.

@rlouf rlouf added the documentation Improvements or additions to documentation label Feb 19, 2023
@brandonwillard brandonwillard added enhancement New feature or request help wanted Extra attention is needed labels Feb 20, 2023
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Labels
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