Neural Copula: A unified framework for estimating generic high-dimensional Copula functions. (arXiv:2205.15031v3 [cs.LG] UPDATED)

The Copula is widely used to describe the relationship between the marginal
distribution and joint distribution of random variables. The estimation of
high-dimensional Copula is difficult, and most existing solutions rely either
on simplified assumptions or on complicating recursive decompositions.
Therefore, people still hope to obtain a generic Copula estimation method with
both universality and simplicity. To reach this goal, a novel neural
network-based method (named Neural Copula) is proposed in this paper. In this
method, a hierarchical unsupervised neural …

arxiv copula framework