Open gmjw opened 2 years ago
Ah, I think the scale_tril
argument to the GaussianCopulaTriL is wrong.
I think
scale_tril=[[1., 0.8], [0., 0.6]],
should be
scale_tril=[[1., 0], [0.8, 0.6]],
This seems to fix the example to have uniform marginals. I'll stick up a PR.
[TFP is awesome, thanks so much for all the amazing functionality!]
I've been reading the copulas primer at https://www.tensorflow.org/probability/examples/Gaussian_Copula
Twice in the first couple of paragraphs it mentions that a copula is a distribution on
[0, 1]^n
with uniform marginals.However, in the example just below, the copula pdf
pdf = GaussianCopulaTriL(...)
doesn't have uniform marginals. The contour plot here is clearly non-uniform in the y direction (the marginal is Normal-like, not Uniform).Would anyone be able to explain why this is?