theorem
Verification.gaussianScaleMixture_toMeasure
{r : ℝ}
(hr : r ∈ Set.Icc (-1) 1)
(μ : MeasureTheory.ProbabilityMeasure ℝ)
(s : ℝ → ℝ)
(hs : Measurable s)
(hp : ∀ᵐ (t : ℝ) ∂↑μ, 0 < s t)
:
(ProbabilityTheory.Copula.gaussianScaleMixture (bivariateCorrelation r) ⋯ ⋯ μ s hs hp).toMeasure = MeasureTheory.Measure.map
(fun (p : EuclideanSpace ℝ (Fin 2) × ℝ) (i : Fin 2) =>
ProbabilityTheory.cdfUnit (normalScaleMixtureMarginal μ s) (s p.2 * p.1.ofLp i))
((ProbabilityTheory.multivariateGaussian 0 (bivariateCorrelation r)).prod ↑μ)
theorem
Verification.normalScaleMixtureMarginal_cdfUnit_neg
(μ : MeasureTheory.ProbabilityMeasure ℝ)
(s : ℝ → ℝ)
(hs : Measurable s)
(hp : ∀ᵐ (t : ℝ) ∂↑μ, 0 < s t)
(x : ℝ)
:
theorem
Verification.gaussianScaleMixture_neg
{r : ℝ}
(hr : r ∈ Set.Icc (-1) 1)
(μ : MeasureTheory.ProbabilityMeasure ℝ)
(s : ℝ → ℝ)
(hs : Measurable s)
(hp : ∀ᵐ (t : ℝ) ∂↑μ, 0 < s t)
:
ProbabilityTheory.Copula.gaussianScaleMixture (bivariateCorrelation (-r)) ⋯ ⋯ μ s hs hp = (ProbabilityTheory.Copula.gaussianScaleMixture (bivariateCorrelation r) ⋯ ⋯ μ s hs hp).reflect {1}