Probabilistic Multivariate Time Series Forecasting with Diffusion Copulas

arXiv:2605.19685v1 Announce Type: cross Abstract: Accurately assessing financial risk requires capturing both individual asset volatility and the complex, asymmetric dependence structures that emerge during extreme market events. While modern diffusion-based models have advanced multivariate forecasting, they often suffer from a "normality bias" when trained end-to-end, sacrificing marginal calibration for joint coherence and consistently underestimating tail risk. To address this, we propose a Diffusion-Copula framework that explicitly decouples the learning of marginal distributions from the

Source: arXiv cs.LG — read the full report at the original publisher.

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