Vinecop.rosenblatt

Vinecop.rosenblatt(self: pyvinecopulib.Vinecop, u: numpy.ndarray[numpy.float64[m, n]], num_threads: int = 1) → numpy.ndarray[numpy.float64[m, n]]

Evaluates the Rosenblatt transform for a vine copula model.

The Rosenblatt transform converts data from this model into independent uniform variates. Only works for continuous data.

Parameter u:

An \(n \times d\) or \(n \times 2d\) matrix of evaluation points.

Parameter num_threads:

The number of threads to use for computations; if greater than 1, the function will be applied concurrently to num_threads batches of u.