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Conditional sampling from Gaussian copula #154

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k15z opened this issue Feb 24, 2020 · 0 comments · Fixed by #211
Closed

Conditional sampling from Gaussian copula #154

k15z opened this issue Feb 24, 2020 · 0 comments · Fixed by #211
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@csala
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feature request Request for a new feature
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0.5.0

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@k15z
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k15z commented Feb 24, 2020

It may be useful to be able to add support for conditional sampling from Gaussian copulas. Instead of sampling N rows and D columns, we could sample N rows and D_1 columns conditioned on knowing the values for D_2 columns.

See https://stackoverflow.com/a/38718317 for how to compute conditional covariance matrices.
@csala csala mentioned this issue Feb 23, 2021
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@csala csala self-assigned this Feb 23, 2021
@csala csala added the feature request Request for a new feature label Feb 23, 2021
@csala csala modified the milestones: 0.5.0, 0.4.1 Feb 23, 2021
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Gaussian multivariate conditional sampling sdv-dev/Copulas
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