Motivation
The multivariate Student copula CDF is currently a distinct numerical problem from Spearman rho and moment matching tracked in #316. PR #330 contains an exploratory QMC implementation, but it should be reviewed independently because it changes the public numerical behavior of cdf.
Proposed scope
- Specify the numerical algorithm and cite its primary references.
- Define accuracy, error-estimation, RNG and reproducibility semantics.
- Cover central values, extreme tails, singular or nearly singular correlation matrices, and Float32/Float64 behavior.
- Compare against trusted external reference values and the current implementation where applicable.
- Add focused Tachometer benchmarks across representative dimensions.
- Keep the implementation independent from the Student rho/moment-matching work.
Historical work
The exploratory implementation and reference fixtures currently live in #330, which should be split before further review.
Motivation
The multivariate Student copula CDF is currently a distinct numerical problem from Spearman rho and moment matching tracked in #316. PR #330 contains an exploratory QMC implementation, but it should be reviewed independently because it changes the public numerical behavior of
cdf.Proposed scope
Historical work
The exploratory implementation and reference fixtures currently live in #330, which should be split before further review.