Thanks so much. I’ve been using the normalizing flows approach but with limited success. As I understand it, passing the string “'scale-hh*10-loc” would model the dependencies of 10 variables in the covariance matrix (please correct me if that’s incorrect). If so, how does the NFVI choose which variables it will model?
The grouped approximation sounds exactly like what I need though. I’ll be testing it out as well.
Thanks again,
David