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This repository was archived by the owner on Nov 17, 2025. It is now read-only.
This repository was archived by the owner on Nov 17, 2025. It is now read-only.

Add an example with Gaussian copulas #236

@rlouf

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@rlouf

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.

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