Dependence model assessment and selection with DecoupleNets

Autor: Hofert, Marius, Prasad, Avinash, Zhu, Mu
Rok vydání: 2022
Předmět:
Druh dokumentu: Working Paper
Popis: Neural networks are suggested for learning a map from $d$-dimensional samples with any underlying dependence structure to multivariate uniformity in $d'$ dimensions. This map, termed DecoupleNet, is used for dependence model assessment and selection. If the data-generating dependence model was known, and if it was among the few analytically tractable ones, one such transformation for $d'=d$ is Rosenblatt's transform. DecoupleNets have multiple advantages. For example, they only require an available sample and are applicable to $d'
Databáze: arXiv