Copula processes

Andrew Gordon Wilson, Zoubin Ghahramani

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems 23
Subtitle of host publication24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010
StatePublished - Dec 1 2010
Event24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010 - Vancouver, BC, Canada
Duration: Dec 6 2010Dec 9 2010

Publication series

NameAdvances in Neural Information Processing Systems 23: 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010

Other

Other24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010
CountryCanada
CityVancouver, BC
Period12/6/1012/9/10

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ASJC Scopus subject areas

  • Information Systems

Cite this

Wilson, A. G., & Ghahramani, Z. (2010). Copula processes. In Advances in Neural Information Processing Systems 23: 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010 (Advances in Neural Information Processing Systems 23: 24th Annual Conference on Neural Information Processing Systems 2010, NIPS 2010).