arXiv:2605.23134cs.LG2026-05

用泰勒模式自动微分实现任意删失下高维嵌套阿基米德拷贝的精确参数梯度计算

Archimedean Copula Inference via Taylor-Mode AD

  • 基于泰勒模式自动微分,统一处理任意删失与嵌套结构
  • 在53维医疗数据和98维金融数据上实现精确似然与梯度计算
  • 支持经典与神经生成器,适合高维生存分析与复杂依赖建模

现有嵌套阿基米德拷贝工具无法同时处理三类问题:(a) 生存分析中的变量级右删失,(b) 任意嵌套树结构,(c) 精确参数梯度。现有实现仅限于二元问题、低维(d ≤ 10)、两层嵌套或手工推导的嵌套形式。我们提出 extsc{acopula},一个原生 JAX 框架,可对任意阿基米德生成器(经典或神经)在任意删失掩码下,以多项式时间计算嵌套拷贝似然和参数梯度。其核心是泰勒模式自动微分输出的多项式幂运算,替代传统的手工部分贝尔多项式表,实现单个可微计算流程,用户自定义生成器即可驱动。通过大量模拟验证了 extsc{acopula} 的正确性。应用包括:(a) 在 85,229 条 MIMIC-IV ICU 入院记录上进行高维(d=53)变量级删失建模,使用经典与神经嵌套拷贝;(b) 对 S&P 500 日收益率构建 11 部门层次模型(d=98);(c) 在糖尿病视网膜病变研究中,对十种拷贝族(五种无先前实现)进行删失下的最大似然估计;(d) 在 d=35 时相比 R 的 exttt{nacLL} 实现约 650 倍加速,且随维度增长呈二次扩展至 d=8,000。

原文摘要 · Abstract (English)

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 $d{=}8{,}000$.

概率建模生存分析自动微分高维统计

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