TY - GEN
T1 - Copula processes
AU - Wilson, Andrew Gordon
AU - Ghahramani, Zoubin
PY - 2010
Y1 - 2010
N2 - 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 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.
AB - 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 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.
UR - http://www.scopus.com/inward/record.url?scp=85162018719&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85162018719&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:85162018719
SN - 9781617823800
T3 - Advances in Neural Information Processing Systems 23: 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010
BT - Advances in Neural Information Processing Systems 23
PB - Neural Information Processing Systems
T2 - 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010
Y2 - 6 December 2010 through 9 December 2010
ER -