{ "predictions": { "PIT_uniformity": "mean -> 0.5, variance -> 1/12, and KS remains small for every continuous marginal", "rank_invariance": "For a Gaussian copula, Spearman = (6/pi) asin(rho/2) and Kendall tau = (2/pi) asin(rho), independent of marginal family", "dependence_gain": "independent NLL - copula NLL = -0.5 log(1-rho^2), exactly zero at rho=0" }, "derivative_check": { "u1": 0.37, "u2": 0.61, "rho": 0.65, "finite_difference": 1.1066858180308614, "analytic_density": 1.1066858181022963, "relative_error": 6.454845346382531e-11 }, "pit_sweep": [ { "marginals": "lognormal/gamma", "coordinate": 1, "mean": 0.5025708728400309, "variance": 0.08379054561705422, "ks": 0.006052478091042479 }, { "marginals": "lognormal/gamma", "coordinate": 2, "mean": 0.5012865018936924, "variance": 0.08274643607100267, "ks": 0.00567742735503185 }, { "marginals": "gamma/lognormal", "coordinate": 1, "mean": 0.49874053546245234, "variance": 0.08378120625647417, "ks": 0.0046018493010879236 }, { "marginals": "gamma/lognormal", "coordinate": 2, "mean": 0.49992784431030524, "variance": 0.0841101564193521, "ks": 0.0038054650773772236 }, { "marginals": "lognormal/lognormal", "coordinate": 1, "mean": 0.5015810764285978, "variance": 0.08274240998874416, "ks": 0.005338492447773513 }, { "marginals": "lognormal/lognormal", "coordinate": 2, "mean": 0.49956384092902556, "variance": 0.08249412781279461, "ks": 0.005639051777740933 }, { "marginals": "gamma/gamma", "coordinate": 1, "mean": 0.4985339964590969, "variance": 0.08283447024967824, "ks": 0.004378046678996994 }, { "marginals": "gamma/gamma", "coordinate": 2, "mean": 0.5004704586413624, "variance": 0.083139588762496, "ks": 0.0032968037252048554 } ], "dependence_sweep": [ { "rho": 0.0, "predicted_spearman": 0.0, "observed_spearman": 0.007992403412745253, "abs_error": 0.007992403412745253, "predicted_kendall": 0.0, "observed_kendall": 0.005298272456811421, "kendall_abs_error": 0.005298272456811421 }, { "rho": 0.2, "predicted_spearman": 0.19130568257555955, "observed_spearman": 0.19390582879000365, "abs_error": 0.002600146214444099, "predicted_kendall": 0.12818843369794988, "observed_kendall": 0.13009653491337284, "kendall_abs_error": 0.0019081012154229526 }, { "rho": 0.5, "predicted_spearman": 0.4825837395309974, "observed_spearman": 0.48544994498178123, "abs_error": 0.0028662054507838097, "predicted_kendall": 0.33333333333333337, "observed_kendall": 0.335515202880072, "kendall_abs_error": 0.0021818695467386573 }, { "rho": 0.8, "predicted_spearman": 0.7859392826067277, "observed_spearman": 0.7846116916311324, "abs_error": 0.0013275909755953164, "predicted_kendall": 0.5903344706017332, "observed_kendall": 0.589014330358259, "kendall_abs_error": 0.001320140243474155 } ], "likelihood_sweep": [ { "rho": 0.0, "independent_nll": 2.988177863009571, "copula_nll": 2.988177863009571, "observed_nll_gain": 0.0, "predicted_nll_gain": -0.0, "fitted_rho": 0.009830621920879473 }, { "rho": 0.2, "independent_nll": 2.986484172917755, "copula_nll": 2.967029685922538, "observed_nll_gain": 0.019454486995217124, "predicted_nll_gain": 0.020410997260127583, "fitted_rho": 0.19558871441873815 }, { "rho": 0.5, "independent_nll": 2.990996822875202, "copula_nll": 2.844558396185997, "observed_nll_gain": 0.14643842668920515, "predicted_nll_gain": 0.14384103622589045, "fitted_rho": 0.5034209829401081 }, { "rho": 0.8, "independent_nll": 2.978218673484344, "copula_nll": 2.4657172908194975, "observed_nll_gain": 0.5125013826648463, "predicted_nll_gain": 0.5108256237659908, "fitted_rho": 0.8009013610502361 } ], "mini_comparison": { "dependence": 0.8, "baseline_independent_nll": 2.978218673484344, "idea_copula_nll": 2.4657172908194975, "idea_fitted_rho": 0.8009013610502361 } }