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Retrospective Uncertainties for Deep Models using Vine Copulas

Natasa Tagasovska · Firat Ozdemir · Axel Brando

Auditorium 1 Foyer 167


Despite the major progress of deep models as learning machines, uncertainty estimation remains a major challenge. Existing solutions rely on modified loss functions or architectural changes. We propose to compensate for the lack of built-in uncertainty estimates by supplementing any network, retrospectively, with a subsequent vine copula model, Vine-Copula Neural Networks (VCNN). Through synthetic and real-data experiments, we show that VCNNs could be task (regression/classification) and architecture (recurrent, fully connected) agnostic, providing better-callibrated uncertainty estimates, comparable to state-of-the-art built-in uncertainty solutions.

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