Archimedean Copula Inference via Taylor-Mode AD
About
No existing nested Archimedean copula tool handles all three of (a) arbitrary per-variable (right-)censoring in survival analysis, (b) arbitrary nesting trees, and (c) exact parameter gradients. Existing implementations handle only bivariate problems, low dimensional (i.e., $d \leq 10$) cases, two layers of nesting, or only hand-derived copula nestings. We present \textsc{acopula}, a JAX-native framework that, given any Archimedean generator -- classical or neural -- evaluates exact nested-copula likelihoods and parameter gradients under arbitrary censoring masks in polynomial time. The mechanism is polynomial powering of Taylor-mode automatic differentiation output, which replaces per-family hand-derived partial Bell polynomial tables with a single differentiable computation that any user-defined generator can drive. We conduct extensive simulations to verify the correctness of \textsc{acopula}. We then demonstrate (a) per-variable censoring on $85{,}229$ MIMIC-IV ICU admissions in high dimensions with $d{=}53$, fit by both classical Archimedean families and nested neural Archimedean copulas; (b) an 11-sector hierarchical model on S\&P~500 daily returns at $d{=}98$; (c) family-agnostic censored MLE across ten families, five of them with no prior implementation, on a retinopathy study; and (d) a ${\sim}650\times$ per-density speedup over R's \texttt{nacLL} at $d{=}35$, scaling quadratically to $d{=}8{,}000$.
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Predictive Modeling | MIMIC-IV (train) | Mean Negative Log-Likelihood (NLL)4.951 | 14 | |
| Copula Modeling | MIMIC-IV (held-out) | -- | 11 | |
| Censored Maximum Likelihood Estimation | Retinopathy (train) | Negative Log-Likelihood (train)89.423 | 10 | |
| Censored Maximum Likelihood Estimation | Retinopathy (test) | NLL (Test)20.317 | 10 | |
| Copula log-likelihood estimation | Retinopathy n_train=157 (train) | -- | 10 | |
| Copula log-likelihood estimation | Retinopathy n_test=40 (test) | -- | 10 | |
| Nested-copula likelihood inference | nested real-data | Tested d98 | 7 | |
| Likelihood Estimation | S&P 500 (d=98) | Neg Log-Likelihood (-ℓ̄)-21.2 | 4 | |
| Predictive Modeling | MIMIC-IV (test) | Negative Log-Likelihood8.44e+4 | 3 | |
| Dependence Modeling | S&P 500 d=50 n=1,253 trading days | Negative Log-Likelihood-9.908 | 2 |