A Generative Approach to Quasi-Random Sampling from Copulas via Space-Filling Designs
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arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| _version_ | 1866914454307864576 |
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| author | Wang, Sumin Huang, Chenxian Zhou, Yongdao Liu, Min-Qian |
| author_facet | Wang, Sumin Huang, Chenxian Zhou, Yongdao Liu, Min-Qian |
| contents | Exploring the dependence between covariates across distributions is crucial for many applications. Copulas serve as a powerful tool for modeling joint variable dependencies and have been effectively applied in various practical contexts due to their intuitive properties. However, existing computational methods lack the capability for feasible inference and sampling of any copula, preventing their widespread use. This paper introduces an innovative quasi-random sampling approach for copulas, utilizing generative adversarial networks (GANs) and space-filling designs. The proposed framework constructs a direct mapping from low-dimensional uniform distributions to high-dimensional copula structures using GANs, and generates quasi-random samples for any copula structure from points set of space-filling designs. In the high-dimensional situations with limited data, the proposed approach significantly enhances sampling accuracy and computational efficiency compared to existing methods. Additionally, we develop convergence rate theory for quasi-Monte Carlo estimators, providing rigorous upper bounds for bias and variance. Both simulated experiments and practical implementations, particularly in risk management, validate the proposed method and showcase its superiority over existing alternatives. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_05281 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Generative Approach to Quasi-Random Sampling from Copulas via Space-Filling Designs Wang, Sumin Huang, Chenxian Zhou, Yongdao Liu, Min-Qian Machine Learning Statistics Theory Exploring the dependence between covariates across distributions is crucial for many applications. Copulas serve as a powerful tool for modeling joint variable dependencies and have been effectively applied in various practical contexts due to their intuitive properties. However, existing computational methods lack the capability for feasible inference and sampling of any copula, preventing their widespread use. This paper introduces an innovative quasi-random sampling approach for copulas, utilizing generative adversarial networks (GANs) and space-filling designs. The proposed framework constructs a direct mapping from low-dimensional uniform distributions to high-dimensional copula structures using GANs, and generates quasi-random samples for any copula structure from points set of space-filling designs. In the high-dimensional situations with limited data, the proposed approach significantly enhances sampling accuracy and computational efficiency compared to existing methods. Additionally, we develop convergence rate theory for quasi-Monte Carlo estimators, providing rigorous upper bounds for bias and variance. Both simulated experiments and practical implementations, particularly in risk management, validate the proposed method and showcase its superiority over existing alternatives. |
| title | A Generative Approach to Quasi-Random Sampling from Copulas via Space-Filling Designs |
| topic | Machine Learning Statistics Theory |
| url | https://arxiv.org/abs/2403.05281 |