Regression Copulas for Multivariate Responses
多元响应的回归 Copula 模型
We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression copula''. To allow for large covariate vectors their coefficients are regularized using a novel multivariate extension of the horseshoe prior. Bayesian inference and distributional predictions are evaluated using efficient variational inference…