Add GP-Copula model. #497
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Add GP-Copula model. #497
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lcallot
previously approved these changes
Dec 5, 2019
Codecov Report
@@ Coverage Diff @@
## master #497 +/- ##
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+ Coverage 83.37% 83.7% +0.33%
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Files 155 159 +4
Lines 9203 9403 +200
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+ Hits 7673 7871 +198
- Misses 1530 1532 +2
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lcallot
approved these changes
Dec 6, 2019
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Description of changes:
Adds the GP-Copula model from this paper: https://arxiv.org/abs/1910.03002.
I had to reverse some refactorings for the
DeepVARmodel (which is the base class forGPVAR. I also had to play a bit with the inference test because of the changes the lowrank multivariate distribution that we introduced to avoid cholesky problems.By submitting this pull request, I confirm that you can use, modify, copy, and redistribute this contribution, under the terms of your choice.