[ot-users] PC approximation in the case of Sklar copula

Ivan Panin panin at phystech.edu
Mon Apr 14 22:18:31 CEST 2014


Hi!


I try to select the optimal degree of PC with Cross-Validation (see the
script attached; it is quite long, so I decide not to paste the code in the
letter). The problem is that it takes too long to perform this in the case
of probabilistic model with Sklar copula even if the number of simulations
is small.

Is it normal? What would you recommend?

Regards,

Ivan
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