no code implementations • 24 Sep 2020 • Dorota Toczydlowska, Gareth W. Peters, Pavel V. Shevchenko
We propose a novel generalisation to the Student-t Probabilistic Principal Component methodology which: (1) accounts for an asymmetric distribution of the observation data; (2) is a framework for grouped and generalised multiple-degree-of-freedom structures, which provides a more flexible approach to modelling groups of marginal tail dependence in the observation data; and (3) separates the tail effect of the error terms and factors.
