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Add the univariate transform/reverse transform used in copulas #125

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kveerama opened this issue Sep 27, 2020 · 0 comments · Fixed by #126
Closed

Add the univariate transform/reverse transform used in copulas #125

kveerama opened this issue Sep 27, 2020 · 0 comments · Fixed by #126
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@csala
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feature request Request for a new feature
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0.2.6

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@kveerama
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kveerama commented Sep 27, 2020 •
edited

Given a variable x

  • Find the best possible marginal or use user specified one, P(x)
  • do where is cumulative density function, given P(x).
  • do , where is inverse cdf for standard normal

the reverse transform will do the inverse of the steps above and go from z to u to x
@csala csala self-assigned this Sep 28, 2020
@csala csala added the feature request Request for a new feature label Sep 28, 2020
@csala csala added this to the 0.2.6 milestone Sep 29, 2020
csala added a commit that referenced this issue Sep 29, 2020
@csala
Add CopulaTransformer (#125)
83e4794
@csala csala mentioned this issue Sep 29, 2020
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Issue 125 copula transformer sdv-dev/RDT
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@kveerama @csala