English

Archimedean Copula Inference via Taylor-Mode AD

Machine Learning 2026-05-25 v1

Abstract

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., d10d \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 85,22985{,}229 MIMIC-IV ICU admissions in high dimensions with d=53d{=}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=98d{=}98; (c) family-agnostic censored MLE across ten families, five of them with no prior implementation, on a retinopathy study; and (d) a 650×{\sim}650\times per-density speedup over R's \texttt{nacLL} at d=35d{=}35, scaling quadratically to d=8,000d{=}8{,}000.

Cite

@article{arxiv.2605.23134,
  title  = {Archimedean Copula Inference via Taylor-Mode AD},
  author = {Cambridge Yang and Dongdong Li},
  journal= {arXiv preprint arXiv:2605.23134},
  year   = {2026}
}
R2 v1 2026-07-22T07:27:26.909Z