Diffusion and Flow-based Copulas: Forgetting and Remembering Dependencies

David Huk, Theodoros Damoulas

Keywords: Copula estimation, dependence modelling, diffusion, non-parametric copula

TL;DR: We model copulas based on the principles of diffusions and flows with marginal preserving processes.

Abstract: Copulas are a fundamental tool for modelling multivariate dependencies in data, forming the method of choice in diverse fields and applications. However, the adoption of existing models for multimodal and high-dimensional dependencies is hindered by restrictive assumptions and poor scaling. In this work, we present methods for modelling copulas based on the principles of diffusions and flows. We design two processes that progressively forget inter-variable dependencies while leaving dimension-wise distributions unaffected, provably defining valid copulas at all times. We show how to obtain copula models by learning to remember the forgotten dependencies from each process, theoretically recovering the true copula at optimality. The first instantiation of our framework focuses on direct density estimation, while the second specialises in expedient sampling. Empirically, we demonstrate the superior performance of our proposed methods over state-of-the-art copula approaches in modelling complex and high-dimensional dependencies from scientific datasets and images. Our work enhances the representational power of copula models, empowering applications and paving the way for their adoption on larger scales and more challenging domains.

Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)

Submission Number: 11868