2 papers
stat.ML2024
Flexible Tails for Normalizing Flows
Tennessee Hickling, Dennis Prangle
Normalizing flows are a flexible class of probability distributions, expressed as transformations of a simple base distribution. A limitation of standard normalizing flows is repre…
stat.ML2023
Flexible Tails for Normalising Flows, with Application to the Modelling of Financial Return Data
Tennessee Hickling, Dennis Prangle
We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to appr…