CopFITi is the first marginalization-consistent copula for irregular multivariate time series, using normalizing flows for marginals and a Gaussian mixture copula for dependencies to reach new state-of-the-art joint density modeling.
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Valid and Expressive Copulas for Irregular Multivariate Time Series
CopFITi is the first marginalization-consistent copula for irregular multivariate time series, using normalizing flows for marginals and a Gaussian mixture copula for dependencies to reach new state-of-the-art joint density modeling.