CUED Publications database

Copula Processes

Wilson, AG and Ghahramani, Z Copula Processes. (Unpublished)

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We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility (GCPV), to predict the latent standard deviations of a sequence of random variables. To make predictions we use Bayesian inference, with the Laplace approximation, and with Markov chain Monte Carlo as an alternative. We find both methods comparable. We also find our model can outperform GARCH on simulated and financial data. And unlike GARCH, GCPV can easily handle missing data, incorporate covariates other than time, and model a rich class of covariance structures.

Item Type: Article
Uncontrolled Keywords: stat.ME stat.ME math.PR q-fin.CP q-fin.ST stat.ML
Divisions: Div F > Computational and Biological Learning
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:05
Last Modified: 26 Oct 2017 01:48