Vector Copula Variational Inference and Dependent Block Posterior Approximations

• URL: http://arxiv.org/abs/2503.01072v1
• Date: Mon, 03 Mar 2025 00:24:54 GMT
• Title: Vector Copula Variational Inference and Dependent Block Posterior Approximations
• Authors: Yu Fu, Michael Stanley Smith, Anastasios Panagiotelis,
• Abstract summary: This paper proposes using vector copulas to capture dependence between the blocks parsimoniously.<n>We call the resulting joint distribution a dependent block posterior'' approximation.<n>The efficacy and versatility of the approach is demonstrated using four different statistical models and 16 datasets.
• Score: 3.4402084898030454
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: Variational inference (VI) is a popular method to estimate statistical and econometric models. The key to VI is the selection of a tractable density to approximate the Bayesian posterior. For large and complex models a common choice is to assume independence between multivariate blocks in a partition of the parameter space. While this simplifies the problem it can reduce accuracy. This paper proposes using vector copulas to capture dependence between the blocks parsimoniously. Tailored multivariate marginals are constructed using learnable cyclically monotone transformations. We call the resulting joint distribution a ``dependent block posterior'' approximation. Vector copula models are suggested that make tractable and flexible variational approximations. They allow for differing marginals, numbers of blocks, block sizes and forms of between block dependence. They also allow for solution of the variational optimization using fast and efficient stochastic gradient methods. The efficacy and versatility of the approach is demonstrated using four different statistical models and 16 datasets which have posteriors that are challenging to approximate. In all cases, our method produces more accurate posterior approximations than benchmark VI methods that either assume block independence or factor-based dependence, at limited additional computational cost.

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