Copula Active Subspaces I: A Score-Covariance Method for Reduced-Order Non-Gaussian Density Estimation
Copula主动子空间(一):非高斯密度降维估计的得分协方差方法
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 (CAS) to represent this noise density. A componentwise rank transform isolates the noise law's dependence in its copula, and a rank-$r$ reduction keeps only…