Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

[New feature] Conditionning #150

Open
Tracked by #114
lrnv opened this issue Feb 13, 2024 · 5 comments · May be fixed by #194
Open
Tracked by #114

[New feature] Conditionning #150

lrnv opened this issue Feb 13, 2024 · 5 comments · May be fixed by #194
Assignees

Comments

@lrnv
Copy link
Owner

lrnv commented Feb 13, 2024

AnderGray said in the review:

in BivariateCopulas.jl we perform conditioning of copulas and joint distributions using numerical finite differencing. Not sure if there's a better way to do it, but it allows you to sample from arbitrary (without a family) copulas and distributions. I think this is needed if you want to do implement vines.


So yes conditional density functions for bivariate copulas will be needed to implement vines. I am not sure for the moment how it should be done, and I hope I can do it generically enough, but this is a bit of work.

@lrnv lrnv mentioned this issue Feb 13, 2024
27 tasks
@lrnv lrnv changed the title Conditioning: in BivariateCopulas.jl we perform conditioning of copulas and joint distributions using numerical finite differencing. Not sure if there's a better way to do it, but it allows you to sample from arbitrary (without a family) copulas and distributions. I think this is needed if you want to do implement vines [New feature] Conditionning Feb 13, 2024
@kmarray98
Copy link

I am writing some functions to implement conditional samplers for copulas where there is a simple analytic formula (e.g FGM copula) as part of another project. Would this be useful to add as a start? I am using the formulae in Appendix 1 of the Trivedi and Zimmerman book.

@lrnv
Copy link
Owner Author

lrnv commented Mar 5, 2024

@kmarray98 Yes it might ! Even if it does not implement it for all copulas, if you can figure out an interface and API that would provide this functionality, that is great.

Do not hesitate to write your code targetting a PR to copulas.jl, I'll help you merging it.

@lrnv
Copy link
Owner Author

lrnv commented Mar 24, 2024

@kmarray98 I will reconsider this myself, do you have some kind of base on which I could build up ? Even a draft would help

@lrnv lrnv self-assigned this Mar 24, 2024
lrnv added a commit that referenced this issue Mar 24, 2024
@lrnv lrnv linked a pull request Mar 24, 2024 that will close this issue
@kmarray98
Copy link

Hi - sure, sorry I have been quite busy since posting, but I do have something. How is best to transfer it (first time trying to contribute something to a package)?

@lrnv
Copy link
Owner Author

lrnv commented Mar 26, 2024

Since we finally patched the GlobalSensitivity.jl issues, the urgency is not there anymore. If you want to take more time to pause and ponder before sharing, then it's ok for me too.

What's the best sharing way depends on what you have. The most practical is to open a PR: fork the package, push to your own branch and open a PR. If you are not accustomed to Julia package developpement and GitHub Pull Request functionalities however, it can be a bit hard to grasp the first time but it's a tool worth learning !

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging a pull request may close this issue.

2 participants