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Improve copula parameters sampling about sdv HOT 1 CLOSED

sdv-dev avatar sdv-dev commented on July 26, 2024
Improve copula parameters sampling

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Comments (1)

ManuelAlvarezC avatar ManuelAlvarezC commented on July 26, 2024

To solve this issue I propose the following:

  • On point 1, instead of modelling and sampling the whole covariance matrix, do it with just the lower/upper half over the diagonal, and when creating the model from sampled parameters, completing the other half using simetry over diagonal, that is:

    matrix[i][j] = matrix[j][i]
  • For the second point, I will transform the standard deviation using the positive transformer mentioned here before modelling and reverse transform it when recreating the model.

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