Joshua Chen

Copula Active Subspaces I: A Score-Covariance Method for Reduced-Order Non-Gaussian Density Estimation

In Bayesian inference problems with non-Gaussian observation noise, the posterior is only as accurate as the noise density, and gradient-based samplers need that density and its gradient evaluable pointwise, whether from an explicit expression or from code, and without an inner solve. We propose Copula Active Subspaces...