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[New feature] Rosenblatt (and inverse) transformations #151

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Tracked by #114
lrnv opened this issue Feb 13, 2024 · 3 comments
Open
Tracked by #114

[New feature] Rosenblatt (and inverse) transformations #151

lrnv opened this issue Feb 13, 2024 · 3 comments

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@lrnv
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lrnv commented Feb 13, 2024

AnderGray said in Joss's review:

Rossenblat (and inverse) transformation is often used in uncertainty analysis (particularly reliability analysis) to transform random variables into independent standard normal variables.


There is a bit of rosenblatt transformation implemented in BivariateCopulas.jl. I know this transformation is very useful, I am just not really sure how we can make it generic enough to work for all copulas (on one side) and specific enough for standard models to obtain fast computations.

It is also used to do quasi-random-number generation with a dependence structure, which is really useful for some use-cases.

@lrnv lrnv mentioned this issue Feb 13, 2024
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@lrnv lrnv changed the title Rossenblat (and inverse) transformation is often used in uncertainty analysis (particularly reliability analysis) to transform random variables into independent standard normal variables. [New feature] Rosenblatt (and inverse) transformations Feb 13, 2024
@lrnv
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lrnv commented Feb 16, 2024

@AnderGray By the way, would you agree for us to port plotting interface / rosenblatt transforms / other functionalities from BivariateCopulas.jl to Copulas.jl ? We will have to think about how to credit you of course, maybe you should author the PRs

@AnderGray
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@lrnv Just seeing this. Yes, very happy to give it a go :)

@lrnv
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lrnv commented Mar 5, 2024

@AnderGray Thanks, I will go in this direction then as soon as bandwidth becomes available again.

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