Learning Vine Copula Models for Synthetic Data Generation

A vine copula model is a flexible high-dimensional dependence model which uses only bivariate building blocks. However, the number of possible configurations of a vine copula grows exponentially as the number of variables increases, making model selection a major challenge in development. In this work, we formulate a vine structure learning problem with both vector and reinforcement learning representation. We use neural network to find the embeddings for the best possible vine model and generate a structure. Throughout experiments on synthetic and real-world datasets, we show that our proposed approach fits the data better in terms of loglikelihood. Moreover, we demonstrate that the model is able to generate high-quality samples in a variety of applications, making it a good candidate for synthetic data generation.

Authors

• Yi Sun
• Alfredo Cuesta-Infante
• Kalyan Veeramachaneni

Keywords

No keywords are indexed for this paper.