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It is fairly simple to generate samples from a multivariate distributions with arbitrary marginals using Gaussian copulas:
Generate a vector of samples from a multivariate normal distribution;
Apply the cdf of the standard normal distribution to each element of these vectors;
Apply the inverse cdf of the marginal distributions to the corresponding elements.
Yet some PPLs wrap the whole process in custom distributions (Numpyro, TFP). I thus suggest we illustrate Aesara/AePPL's modeling capabilities on a copula example.
It is fairly simple to generate samples from a multivariate distributions with arbitrary marginals using Gaussian copulas:
Yet some PPLs wrap the whole process in custom distributions (Numpyro, TFP). I thus suggest we illustrate Aesara/AePPL's modeling capabilities on a copula example.