DeepAI AI Chat
Log In Sign Up

Generative Archimedean Copulas

by   Yuting Ng, et al.

We propose a new generative modeling technique for learning multidimensional cumulative distribution functions (CDFs) in the form of copulas. Specifically, we consider certain classes of copulas known as Archimedean and hierarchical Archimedean copulas, popular for their parsimonious representation and ability to model different tail dependencies. We consider their representation as mixture models with Laplace transforms of latent random variables from generative neural networks. This alternative representation allows for easy sampling and computational efficiencies especially in high dimensions. We additionally describe multiple methods for optimizing the model parameters. Finally, we present empirical results that demonstrate the efficacy of our proposed method in learning multidimensional CDFs and its computational efficiency compared to existing methods.


page 7

page 8


A Multidimensional Hierarchical Framework for Modeling Speed and Ability in Computer-based Multidimensional Tests

In psychological and educational computer-based multidimensional tests, ...

Multidimensional Membership Mixture Models

We present the multidimensional membership mixture (M3) models where eve...

Importance conditional sampling for Bayesian nonparametric mixtures

Nonparametric mixture models based on the Pitman-Yor process represent a...

Learning Hierarchical Features from Generative Models

Deep neural networks have been shown to be very successful at learning f...

Multidimensional adaptive order GP-WENO via kernel-based reconstruction

This paper presents a fully multidimensional kernel-based reconstruction...

Testing Directed Acyclic Graph via Structural, Supervised and Generative Adversarial Learning

In this article, we propose a new hypothesis testing method for directed...

Classification automatique de données temporelles en classes ordonnées

This paper proposes a method of segmenting temporal data into ordered cl...

Code Repositories


Generative Archimedean Copulas

view repo